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Christoph Rheinberger, and Nicolas Treich
July 29, 2015
Sébastien Pouget
July 18, 2015
Adrien Blanchet, and Guillaume Carlier
vol. 41, n. 1, July 16, 2015, pp. 125–145
We study a class of games with a continuum of players for which a Cournot-Nash equilibria can be obtained by the minimisation of some cost related to optimal transport. This cost is not convex in the usual sense, in general, but it turns out to have hidden strict convexity properties in many...
Mathias Reynaert
July 16, 2015
Nicolas Treich
Bruno Biais
July 2, 2015
Marie-Laure Allain, Marcel Boyer, Rachidi Kotchoni, and Jean-Pierre Ponssard
vol. 42, June 2015, pp. 38–47
Deterring the formation or continuation of cartels is a major objective of antitrust policy. We develop a dynamic framework to characterize the compensation and deterrence properties of fines, based on the fact that cartel stability depends on the ability to prevent deviation, which itself depends...
Jean-Pierre Florens, and Sébastien Van Bellegem
vol. 186, n. 2, June 2015, pp. 465–476
In an increasing number of empirical studies, the dimensionality measured e.g. as the size of the parameter space of interest, can be very large. Two instances of large dimensional models are the linear regression with a large number of covariates and the estimation of a regression function with...
Diego Amaya, Geneviève Gauthier, and Thomas-Olivier Léautier
vol. 82, n. 2, June 2015, pp. 359–399
This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. The risk management strategy has two elements: first, until leverage is very high, the firm fully hedges its operating cash how exposure, due to the convexity in its cost of capital. When...
Christophe Bisière, Jean-Paul Décamps, and Stefano Lovo
vol. 61, n. 6, June 2015, pp. 1378–1397
We conduct a series of experiments that simulate trading in financial markets. We find that the information content of the order flow varies with the strength of subjects' prior beliefs about fundamentals. The presence of intrinsic uncertainty about the asset's fundamentals reduces informational...
