Related papers: L'effet de levier de tr\'esorerie
This research shows that under certain mathematical conditions, a threshold autoregressive model (TAR) can represent the leverage effect based on its conditional variance function. Furthermore, the analytical expressions for the third and…
In this paper, I examine why some firms have zero leverage. I fail to find evidence that firms are unlevered because of managerial entrenchment since these firms do not have weaker corporate governance. I reject the hypothesis that firms…
We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit strategy optimizing an expected function of the hedging error.…
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders.…
Barrier derivatives depend on extrema and first-passage events and are therefore highly sensitive to volatility dynamics -- especially to the instantaneous return-volatility correlation $\rho$, often called ``leverage''. This sensitivity…
We study theoretically and experimentally how a thin layer of liquid flows along a flexible beam. The flow is modelled using lubrication theory and the substrate is modelled as an elastica which deforms according to the Euler-Bernoulli…
We study in details the skew of stock option smiles, which is induced by the so-called leverage effect on the underlying -- i.e. the correlation between past returns and future square returns. This naturally explains the anomalous…
The influence of temperature on interfacial fluid slip, as measured by molecular-dynamics simulations of a Couette flow comprising a Lennard-Jones fluid and rigid crystalline walls, is examined as a function of the fluid-solid interaction…
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market liquidity have also been proposed and their merits have been…
To investigate the influence of inertia and slip on the instability of a liquid film on a fibre, a theoretical framework based on the axisymmetric Navier-Stokes equations is proposed via linear instability analysis. The model reveals that…
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential…
The effect of rigid surfaces on the dynamics of thin liquid films which are amenable to the lubrication approximation is considered. It is shown that the Helfrich energy of the layer gives rise to additional terms in the time-evolution…
We observe the emergence of a distinct, elasticity-driven flow state in a yield-stress fluid in the absence of inertia. Numerical simulations show that this elasto-plastic turbulent state is characterized by a broad spectrum of fluctuations…
Molecular dynamics simulations are used to investigate the influence of molecular-scale surface roughness on the slip behavior in thin liquid films. The slip length increases almost linearly with the shear rate for atomically smooth rigid…
This paper aims to enhance the understanding of liquidity provider (LP) returns in automated market makers (AMMs). LPs face market risk as well as adverse selection due to risky asset holdings in the pool that they provide liquidity to and…
Relaxation volume tensors quantify the effect of stress on diffusion of crystal defects. Continuum linear elasticity predicts that calculations of these parameters using periodic boundary conditions do not suffer from systematic deviations…
In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that…
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses…
The aim of this paper is to present a modeling for the rheological behavior of simple liquids as a function of the amplitude of the imposed shear stress or strain. The elastic mode theory (Ref. 6) is first generalized to take into account…
Super-cooled liquids are characterized by their fragility: the slowing down of the dynamics under cooling is more sudden and the jump of specific heat at the glass transition is generally larger in fragile liquids than in strong ones.…