Macro markets : creating institutions for managing society's largest economic risks / / Robert J. Shiller |
Autore | Shiller Robert J |
Pubbl/distr/stampa | Oxford, : Clarendon Press |
Descrizione fisica | 1 online resource (xi, 254 pages) : illustrations |
Disciplina |
332.042
332/.042 |
Collana | Clarendon lectures in economics |
Soggetto topico |
Stock exchanges
Risk Markets |
ISBN |
0-19-102729-4
1-281-97830-2 0-585-38284-0 9786611978303 0-19-152165-5 0-19-828782-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Preface; Acknowledgements; Contents; 1 Introduction; The ideal: A world market for major income risks; Hedging income risk in today's markets; Markets as inventions; Markets as accidents of history; 2 Psychological Barriers; Research on psychology and risk perceptions; Lack of information and ambiguity; Demand for insurance by firms; Social-psychological factors; Gambling behavior; Speculative behavior; Promoting proper public use of macro markets; Psychological barriers: summing up; 3 Mechanisms for Hedging Long Streams of Income; Settlement based on cash-market asset price
Settlement based on measures of income rather than price; Exchange-guaranteed securities markets for perpetual claims on indices; Perpetual futures; Rational speculative bubbles; Appendix to Chapter 3: Futures markets; 4 National Income and Labor Income Markets; Market structure and associated institutions; Problems enforcing payments of losses; Other users of aggregate income markets; Markets in actual or full-employment income?; Measurement issues; Measuring uncertainty about present values of incomes; Results with individual countries; World market return and betas; Cross hedging Interpretation of results; Appendix to Chapter 4: Econometric methods; 5 Real Estate and Other Markets; Real estate; Markets in residential real estate and urban land; Effects of hedging markets on cash market inefficiency; Commercial real estate; Land containing natural resources; Unincorporated businesses and privately held corporations; Consumer and producer price-index futures; Aggregate price-level risk; Components of consumer or producer price indices; Agriculture; The use of agricultural futures by farmers; Intermediaries; Difficulties measuring the cost of hedging Inadequacy of short-term hedging to manage farmers' risk well; Creating long-term hedging markets in agriculture; Art and collectibles; Systematic approaches to finding other markets; 6 The Construction of Index Numbers for Contract Settlement; Analogies to other indices used to settle contracts; Extending chain indices to infrequently traded assets '; Basics of hedonic indices; Problems in measuring quality; Repeated measures and hedonics; Simplifying regression forms; Ordinary repeated-measures indices; Hedonic repeated-measures index; Arithmetic repeated-measures indices 7 Index Numbers: Issues and Alternatives; Expected incidence of repeated measures: standard errors; Binomial model; Equal-representation model; Restrictions on coefficients of subject dummies and hedonic variables; Smoothing and improving indices: Bayesian methods; Choice of hedonic variables; Hedonic variables related to improvements; Hedonic variables related to depreciation; Market conditions as hedonic variables; Other models; Factor-analytic models: interaction effects; Selection bias corrections; Interpretation; 8 The Problem of Index Revisions; Variance components in regression-per-period hedonics |
Record Nr. | UNINA-9910792273303321 |
Shiller Robert J
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Oxford, : Clarendon Press | ||
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Lo trovi qui: Univ. Federico II | ||
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Macro markets : creating institutions for managing society's largest economic risks / / Robert J. Shiller |
Autore | Shiller Robert J |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Oxford, : Clarendon Press |
Descrizione fisica | 1 online resource (xi, 254 pages) : illustrations |
Disciplina |
332.042
332/.042 339.5 |
Collana | Clarendon lectures in economics |
Soggetto topico |
Stock exchanges
Risk Markets |
ISBN |
0-19-102729-4
1-281-97830-2 0-585-38284-0 9786611978303 0-19-152165-5 0-19-828782-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Preface; Acknowledgements; Contents; 1 Introduction; The ideal: A world market for major income risks; Hedging income risk in today's markets; Markets as inventions; Markets as accidents of history; 2 Psychological Barriers; Research on psychology and risk perceptions; Lack of information and ambiguity; Demand for insurance by firms; Social-psychological factors; Gambling behavior; Speculative behavior; Promoting proper public use of macro markets; Psychological barriers: summing up; 3 Mechanisms for Hedging Long Streams of Income; Settlement based on cash-market asset price
Settlement based on measures of income rather than price; Exchange-guaranteed securities markets for perpetual claims on indices; Perpetual futures; Rational speculative bubbles; Appendix to Chapter 3: Futures markets; 4 National Income and Labor Income Markets; Market structure and associated institutions; Problems enforcing payments of losses; Other users of aggregate income markets; Markets in actual or full-employment income?; Measurement issues; Measuring uncertainty about present values of incomes; Results with individual countries; World market return and betas; Cross hedging Interpretation of results; Appendix to Chapter 4: Econometric methods; 5 Real Estate and Other Markets; Real estate; Markets in residential real estate and urban land; Effects of hedging markets on cash market inefficiency; Commercial real estate; Land containing natural resources; Unincorporated businesses and privately held corporations; Consumer and producer price-index futures; Aggregate price-level risk; Components of consumer or producer price indices; Agriculture; The use of agricultural futures by farmers; Intermediaries; Difficulties measuring the cost of hedging Inadequacy of short-term hedging to manage farmers' risk well; Creating long-term hedging markets in agriculture; Art and collectibles; Systematic approaches to finding other markets; 6 The Construction of Index Numbers for Contract Settlement; Analogies to other indices used to settle contracts; Extending chain indices to infrequently traded assets '; Basics of hedonic indices; Problems in measuring quality; Repeated measures and hedonics; Simplifying regression forms; Ordinary repeated-measures indices; Hedonic repeated-measures index; Arithmetic repeated-measures indices 7 Index Numbers: Issues and Alternatives; Expected incidence of repeated measures: standard errors; Binomial model; Equal-representation model; Restrictions on coefficients of subject dummies and hedonic variables; Smoothing and improving indices: Bayesian methods; Choice of hedonic variables; Hedonic variables related to improvements; Hedonic variables related to depreciation; Market conditions as hedonic variables; Other models; Factor-analytic models: interaction effects; Selection bias corrections; Interpretation; 8 The Problem of Index Revisions; Variance components in regression-per-period hedonics |
Record Nr. | UNINA-9910812945303321 |
Shiller Robert J
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Oxford, : Clarendon Press | ||
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Lo trovi qui: Univ. Federico II | ||
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Mapping the Markets [[electronic resource] ] : A Guide to Stockmarket Analysis |
Autore | Owen Deborah |
Pubbl/distr/stampa | London, : Economist Books, 2006 |
Descrizione fisica | 1 online resource (144 p.) |
Disciplina |
332.63
332.6322 |
Altri autori (Persone) | GriffithsRobin |
Collana | Economist books Mapping the markets |
Soggetto topico |
Business cycles
Business Investments Stock exchanges Finance Business & Economics Investment & Speculation |
ISBN |
1-281-03182-8
9786611031824 1-84765-027-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Preliminaries; Contents; Acknowledgements; Introduction; 1 Economic cycles; 2 Stockmarket cycles; 3 Sector rotation; 4 Stock selection; 5 Economic catch up; 6 Demographic trends; 7 Energy; 8 Biotechnology; Part 3 Downward phases of the cycle; 9 Global imbalances; 10 External events; 11 Stockmarkets; 12 Sectors; Conclusion; Note on sources; Bibliography; Index |
Altri titoli varianti |
Economist boo
Economist books Mapping the Markets : A Guide to Stock Market Analysis |
Record Nr. | UNISA-996217136503316 |
Owen Deborah
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London, : Economist Books, 2006 | ||
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Lo trovi qui: Univ. di Salerno | ||
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Mapping the Markets [[electronic resource] ] : A Guide to Stockmarket Analysis |
Autore | Owen Deborah |
Pubbl/distr/stampa | London, : Economist Books, 2006 |
Descrizione fisica | 1 online resource (144 p.) |
Disciplina |
332.63
332.6322 |
Altri autori (Persone) | GriffithsRobin |
Collana | Economist books Mapping the markets |
Soggetto topico |
Business cycles
Business Investments Stock exchanges Finance Business & Economics Investment & Speculation |
ISBN |
1-281-03182-8
9786611031824 1-84765-027-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Preliminaries; Contents; Acknowledgements; Introduction; 1 Economic cycles; 2 Stockmarket cycles; 3 Sector rotation; 4 Stock selection; 5 Economic catch up; 6 Demographic trends; 7 Energy; 8 Biotechnology; Part 3 Downward phases of the cycle; 9 Global imbalances; 10 External events; 11 Stockmarkets; 12 Sectors; Conclusion; Note on sources; Bibliography; Index |
Altri titoli varianti |
Economist boo
Economist books Mapping the Markets : A Guide to Stock Market Analysis |
Record Nr. | UNINA-9910679282903321 |
Owen Deborah
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London, : Economist Books, 2006 | ||
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Lo trovi qui: Univ. Federico II | ||
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Market microstructure [[electronic resource] ] : confronting many viewpoints / / edited by Frédéric Abergel ... [et al.] |
Edizione | [1st edition] |
Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2012 |
Descrizione fisica | 1 online resource (256 p.) |
Disciplina | 332.64/2 |
Altri autori (Persone) | AbergelFrédéric |
Collana | Wiley finance |
Soggetto topico |
Securities
Securities - Prices Stock exchanges Microfinance |
ISBN |
1-118-67355-7
1-280-67910-7 9786613656032 1-119-95277-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | pt. 1. Economic microstructure theory -- pt. 2. High frequency data modeling -- pt. 3. Market impact -- pt. 4. Optimal trading. |
Record Nr. | UNINA-9910141256703321 |
Chichester, West Sussex, U.K., : Wiley, 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Market microstructure [[electronic resource] ] : examination of exchange-traded funds (ETFs) : hearing before the Subcommittee on Securities, Insurance, and Investment of the Committee on Banking, Housing, and Urban Affairs, United States Senate, One Hundred Twelfth Congress, first session ... October 19, 2011 |
Pubbl/distr/stampa | Washington : , : U.S. G.P.O., , 2012 |
Descrizione fisica | 1 online resource (iii, 67 pages) : color illustrations |
Collana | S. hrg. |
Soggetto topico |
Exchange traded funds - United States
Stock exchanges - United States Investments - United States Exchange traded funds Investments Stock exchanges |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Altri titoli varianti | Market microstructure |
Record Nr. | UNINA-9910701828203321 |
Washington : , : U.S. G.P.O., , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Market microstructure in practice / / editors, Charles-Albert Lehalle, Sophie Laruelle |
Pubbl/distr/stampa | Singapore ; ; Hackensack, New Jersey : , : World Scientific Publishing Company, , [2014] |
Descrizione fisica | 1 online resource (332 p.) |
Disciplina | 332.0415 |
Altri autori (Persone) |
LaruelleSophie
LehalleCharles-Albert |
Soggetto topico |
Capital market
Finance Stock exchanges |
Soggetto genere / forma | Electronic books. |
ISBN | 981-4566-17-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
About the Editors; About the Contributors; Contents; Foreword by; Robert Almgren; Bertrand Patillet; Philippe Guillot; Albert J. Menkveld; Preface by; Charles-Albert Lehalle; Sophie Laruelle; Introduction; Liquidity in Question; Microstructure from a Regulatory Standpoint; A Recent Appetite of Regulators and Policy-Makers for Electronic Markets; Worldwide Consolidation: An Electronic Trading Global Timeline; Changes in the Microstructure; Defining Best Execution; Redefining the Roles: An Agent is Now Both Liquidity Taker and Liquidity Provider Simultaneously
Towards a Paradigm Shift: A Blurring of Roles Impact on Liquidity; 1. Monitoring the Fragmentation at Any Scale; 1.1 Fluctuations of Market Shares: A First Graph on Liquidity; 1.1.1 The market share: A not so obvious liquidity metric; 1.1.2 Phase 1: First attempts of fragmentation; 1.1.3 Phase 2: Convergence towards a European offer; Entropy of the market microstructure; Fragmentation of what?; 1.1.4 Phase 3: Apparition of broker crossing networks and Dark Pools; How HFT activity promoted trading outside of visible pools; Small and mid-caps: Catching up main indexes; From division to union 1.2 Smart Order Routing (SOR), A Structural Component of European Price Formation Process 1.2.1 How to route orders in a fragmented market?; Focus on atomic orders; Using a Smart Order Router (SOR); Aggregate liquidity to minimize the impact of each order; Smart Order Routers or Smart Fee Savers?; Beware of duplicate liquidity; 1.2.2 Fragmentation is a consequence of primary markets' variance; 1.3 Still Looking for the Optimal Tick Size; 1.3.1 Why does tick size matter?; 1.3.2 How tick size affects market quality; Decreasing the tick size lowers spreads when tick size is a constraint Smaller and faster liquidity, does this means more unstable?Cumulative depth and order exposure incentive; Queue jumping and the profitability of limit orders relative to marketable ones; 1.3.3 How can tick size be used by trading venue to earn market share?; Tick size war in the US; Tick size war in Europe; 1.3.4 How does tick size change the profitability of the various participants in the market?; 1.3.5 The value of a quote; 1.4 Can We See in the Dark?; 1.4.1 Mechanism of dark liquidity pools; 1.4.2 In-depth analysis of dark liquidity; European Dark Pool market share Dark Pools and price discovery Main characteristics of dark liquidity; Dark Pools risks and toxic liquidity; 2. Understanding the Stakes and the Roots of Fragmentation; 2.1 From Intraday Market Share to Volume Curves: Some Stationarity Issues; 2.1.1 Inventory-driven investors need fixing auctions; Fixing auctions: What's at stake; Basic matching rules during call auctions; Pre-fixing dynamics demystified; 2.1.2 Timing is money: Investors need to trade accordingly; Market design and information flow timing imply liquidity patterns; Examples of mixed effects; 1) Opening of the US market 2) US macroeconomic news |
Record Nr. | UNINA-9910453396003321 |
Singapore ; ; Hackensack, New Jersey : , : World Scientific Publishing Company, , [2014] | ||
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Lo trovi qui: Univ. Federico II | ||
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Market microstructure in practice / / editors, Charles-Albert Lehalle, Capital Fund Management, France, Sophie Laruelle, Universite Paris-Est Creteil, France |
Pubbl/distr/stampa | New Jersey : , : World Scientific, , [2014] |
Descrizione fisica | 1 online resource (xxv, 305 pages) : illustrations (some color) |
Disciplina | 332.0415 |
Collana | Gale eBooks |
Soggetto topico |
Capital market
Finance Stock exchanges |
ISBN | 981-4566-17-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
About the Editors; About the Contributors; Contents; Foreword by; Robert Almgren; Bertrand Patillet; Philippe Guillot; Albert J. Menkveld; Preface by; Charles-Albert Lehalle; Sophie Laruelle; Introduction; Liquidity in Question; Microstructure from a Regulatory Standpoint; A Recent Appetite of Regulators and Policy-Makers for Electronic Markets; Worldwide Consolidation: An Electronic Trading Global Timeline; Changes in the Microstructure; Defining Best Execution; Redefining the Roles: An Agent is Now Both Liquidity Taker and Liquidity Provider Simultaneously
Towards a Paradigm Shift: A Blurring of Roles Impact on Liquidity; 1. Monitoring the Fragmentation at Any Scale; 1.1 Fluctuations of Market Shares: A First Graph on Liquidity; 1.1.1 The market share: A not so obvious liquidity metric; 1.1.2 Phase 1: First attempts of fragmentation; 1.1.3 Phase 2: Convergence towards a European offer; Entropy of the market microstructure; Fragmentation of what?; 1.1.4 Phase 3: Apparition of broker crossing networks and Dark Pools; How HFT activity promoted trading outside of visible pools; Small and mid-caps: Catching up main indexes; From division to union 1.2 Smart Order Routing (SOR), A Structural Component of European Price Formation Process 1.2.1 How to route orders in a fragmented market?; Focus on atomic orders; Using a Smart Order Router (SOR); Aggregate liquidity to minimize the impact of each order; Smart Order Routers or Smart Fee Savers?; Beware of duplicate liquidity; 1.2.2 Fragmentation is a consequence of primary markets' variance; 1.3 Still Looking for the Optimal Tick Size; 1.3.1 Why does tick size matter?; 1.3.2 How tick size affects market quality; Decreasing the tick size lowers spreads when tick size is a constraint Smaller and faster liquidity, does this means more unstable?Cumulative depth and order exposure incentive; Queue jumping and the profitability of limit orders relative to marketable ones; 1.3.3 How can tick size be used by trading venue to earn market share?; Tick size war in the US; Tick size war in Europe; 1.3.4 How does tick size change the profitability of the various participants in the market?; 1.3.5 The value of a quote; 1.4 Can We See in the Dark?; 1.4.1 Mechanism of dark liquidity pools; 1.4.2 In-depth analysis of dark liquidity; European Dark Pool market share Dark Pools and price discovery Main characteristics of dark liquidity; Dark Pools risks and toxic liquidity; 2. Understanding the Stakes and the Roots of Fragmentation; 2.1 From Intraday Market Share to Volume Curves: Some Stationarity Issues; 2.1.1 Inventory-driven investors need fixing auctions; Fixing auctions: What's at stake; Basic matching rules during call auctions; Pre-fixing dynamics demystified; 2.1.2 Timing is money: Investors need to trade accordingly; Market design and information flow timing imply liquidity patterns; Examples of mixed effects; 1) Opening of the US market 2) US macroeconomic news |
Record Nr. | UNINA-9910790748103321 |
New Jersey : , : World Scientific, , [2014] | ||
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Lo trovi qui: Univ. Federico II | ||
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Market microstructure in practice / / editors, Charles-Albert Lehalle, Capital Fund Management, France, Sophie Laruelle, Universite Paris-Est Creteil, France |
Pubbl/distr/stampa | New Jersey : , : World Scientific, , [2014] |
Descrizione fisica | 1 online resource (xxv, 305 pages) : illustrations (some color) |
Disciplina | 332.0415 |
Collana | Gale eBooks |
Soggetto topico |
Capital market
Finance Stock exchanges |
ISBN | 981-4566-17-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
About the Editors; About the Contributors; Contents; Foreword by; Robert Almgren; Bertrand Patillet; Philippe Guillot; Albert J. Menkveld; Preface by; Charles-Albert Lehalle; Sophie Laruelle; Introduction; Liquidity in Question; Microstructure from a Regulatory Standpoint; A Recent Appetite of Regulators and Policy-Makers for Electronic Markets; Worldwide Consolidation: An Electronic Trading Global Timeline; Changes in the Microstructure; Defining Best Execution; Redefining the Roles: An Agent is Now Both Liquidity Taker and Liquidity Provider Simultaneously
Towards a Paradigm Shift: A Blurring of Roles Impact on Liquidity; 1. Monitoring the Fragmentation at Any Scale; 1.1 Fluctuations of Market Shares: A First Graph on Liquidity; 1.1.1 The market share: A not so obvious liquidity metric; 1.1.2 Phase 1: First attempts of fragmentation; 1.1.3 Phase 2: Convergence towards a European offer; Entropy of the market microstructure; Fragmentation of what?; 1.1.4 Phase 3: Apparition of broker crossing networks and Dark Pools; How HFT activity promoted trading outside of visible pools; Small and mid-caps: Catching up main indexes; From division to union 1.2 Smart Order Routing (SOR), A Structural Component of European Price Formation Process 1.2.1 How to route orders in a fragmented market?; Focus on atomic orders; Using a Smart Order Router (SOR); Aggregate liquidity to minimize the impact of each order; Smart Order Routers or Smart Fee Savers?; Beware of duplicate liquidity; 1.2.2 Fragmentation is a consequence of primary markets' variance; 1.3 Still Looking for the Optimal Tick Size; 1.3.1 Why does tick size matter?; 1.3.2 How tick size affects market quality; Decreasing the tick size lowers spreads when tick size is a constraint Smaller and faster liquidity, does this means more unstable?Cumulative depth and order exposure incentive; Queue jumping and the profitability of limit orders relative to marketable ones; 1.3.3 How can tick size be used by trading venue to earn market share?; Tick size war in the US; Tick size war in Europe; 1.3.4 How does tick size change the profitability of the various participants in the market?; 1.3.5 The value of a quote; 1.4 Can We See in the Dark?; 1.4.1 Mechanism of dark liquidity pools; 1.4.2 In-depth analysis of dark liquidity; European Dark Pool market share Dark Pools and price discovery Main characteristics of dark liquidity; Dark Pools risks and toxic liquidity; 2. Understanding the Stakes and the Roots of Fragmentation; 2.1 From Intraday Market Share to Volume Curves: Some Stationarity Issues; 2.1.1 Inventory-driven investors need fixing auctions; Fixing auctions: What's at stake; Basic matching rules during call auctions; Pre-fixing dynamics demystified; 2.1.2 Timing is money: Investors need to trade accordingly; Market design and information flow timing imply liquidity patterns; Examples of mixed effects; 1) Opening of the US market 2) US macroeconomic news |
Record Nr. | UNINA-9910823617203321 |
New Jersey : , : World Scientific, , [2014] | ||
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Lo trovi qui: Univ. Federico II | ||
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Market oversight games : inaugural lecture delivered on the appointment to the chair of Competition Economics and Regulation at the University of Amsterdam on Friday, 1 October 2010 / / by Maarten Pieter Schinkel [[electronic resource]] |
Autore | Schinkel Maarten-Pieter |
Pubbl/distr/stampa | Amsterdam : , : Vossiuspers UvA, , 2011 |
Descrizione fisica | 1 online resource (40 pages) : digital, PDF file(s) |
Disciplina | 332.642 |
Collana | Oratiereeks |
Soggetto topico |
Stock exchanges
Game theory |
ISBN |
1-283-05050-1
9786613050502 90-485-1398-7 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Frontmatter -- Antitrust Avoidance by IPO -- What Are Market Oversight Games? -- Some Examples in Real Time -- Points of Departure for Analysis -- Matching Pennies -- Market Oversight Games Complex -- A Lesson from Pac-Man -- Dodging Cartel Detection -- How the Lion Gets the Christian -- A Look inside the Cartel: The Lysine Tapes -- A Look inside the Agency: The NMa Tapes -- Leniency Games Antitrust Authorities Play -- Ms. Pac-Man Proves Creativity Theorem -- Three Corollaries with an Example Each -- Commitment to Do Good -- Epilogue: The De-nationalization of Money by Electronic Payment -- Dankwoord -- Notes |
Record Nr. | UNINA-9910459828403321 |
Schinkel Maarten-Pieter
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Amsterdam : , : Vossiuspers UvA, , 2011 | ||
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Lo trovi qui: Univ. Federico II | ||
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