Bonds are traded in over-the-counter markets, where opacity and fragmentation imply large transaction costs for retail investors. Is there something special about bonds, in contrast to stocks, precluding transparent limit-order markets? Historical experience suggests this is not the case. Before WWII, there was an active market in corporate and municipal bonds on the NYSE. Activity dropped dram...

We introduce models for static and quasi-static damage in elastic materials, based on a strain threshold, and then investigate the relationship between these threshold models and the energy-based models introduced in [17] and [15]. A somewhat surprising result is that, while classical solutions for the energy models are also threshold solutions, this is not the case for nonclassical solutions, ...

This paper addresses the issue of creating a lattice model suitable for design purposes and capable of quantitative estimates of the mechanical properties of a disordered microstructure. The lack of resemblance between idealized lattice models and real materials has limited these models to the realm of qualitative analysis. Two procedures based on the same methodology are presented in the two-d...

Microstructure-based constitutive models have been adopted in recent studies of non-linear mechanical properties of biological soft tissues. These models provide more accurate predictions of the overall mechanical responses of tissues than phenomenological approaches. Based on standard approximations in non-linear mechanics, we classified the microstructural models into three categories: (1) un...

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

Many oi the observed but yet unexplained phenomena associated with granular flow have been attributed to the development of a layered microstructure within the material. In particular the microstructure development has been called on to explain ma, ny of the experimental observations that cannot be accounted for in the presently avMlable theoreticM studies. While the attributions are based on s...

An asymmetric information model of the bid-ask spread is developed for foreign exchange market subject to occasional government interventions. Traditional tests of the unbiasedness of the forward rate as a predictor of the future spot rate are shown to be inconsistent when the rates are measured as the average of their respective bid and ask quotes. Larger bid-ask spreads on Fridays are documen...

I consider a market microstructure model in which the rates of public and private information arrival are probabilistic. The latter depends on the availability of private information that is stochastically changing over time. In equilibrium, traders estimate the availability of private information using past periods’ trading volume and use this information to adjust their strategies. The time-s...

This paper contributes to the microstructure approach to exchange rates in two ways. Using a unique dataset that covers 100% of the Brazilian FX o¢ cial market, we …nd a strict link between FX currency ‡ows and the Balance of Payments. Second, we develop an identi…cation strategy that allows us to properly estimate the behavior of each of the main players in the FX market: dealers and the premi...