2013-09-24 papers

on Financial Markets

Issue of 2013‒09‒24
two papers chosen by

Modeling of Stock Returns and Trading Volume By Taisei Kaizoji
Intraday dynamics of euro area sovereign CDS and bonds By Jacob Gyntelberg; Peter Hördahl; Kristyna Ters; Jörg Urban

Modeling of Stock Returns and Trading Volume

By:	Taisei Kaizoji
Abstract:	In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of stock markets inspired from statistical mechanics [24] to explore the empirical findings. We show that as the interaction among the interacting traders strengthens both the returns and the trading volume present power-law behavior.
Date:	2013–09
URL:	http://d.repec.org/n?u=RePEc:arx:papers:1309.2416&r=fmk

Intraday dynamics of euro area sovereign CDS and bonds

By:	Jacob Gyntelberg; Peter Hördahl; Kristyna Ters; Jörg Urban
Abstract:	The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads in bond and CDS markets, there is little agreement in the literature as to whether one of the two markets is more important than the other in terms of price discovery of sovereign credit risk.
Keywords:	Sovereign credit risk, credit default swaps, price discovery, intraday
Date:	2013–09
URL:	http://d.repec.org/n?u=RePEc:bis:biswps:423&r=fmk

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