Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on over-the-counter option prices to characterize more precisely the distribution of market expectations; (ii) redefining interventions in terms of events as they tend to come in clusters. Moreover, in order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests.We show that interventions have a significant impact on the mean expectation (the forward rate). The results are more ambiguous for variance. Additionally, we find that the effect of interventions on skewness is significant, robust to different definitions of skewness, and consistent with the direction of interventions. On the contrary, our results clearly show that kurtosis is not affected by interventions. We finally show that: (i) coordination increases effectiveness of interventions; (ii) results are not altered when controlling for other economic and political news.     

Tourism as an alternative source of regional growth in Portugal: a panel data analysis at NUTS II and III levels

The role of tourism is of vital economic importance, particularly for small countries with a privileged geographical location and favourable weather conditions. This paper examines the importance of tourism as a conditioning factor for higher regional growth in Portugal by employing the conditional convergence hypothesis of Barro and Sala-i-Martin, associated with the endogenous growth theory. The panel data estimation approach provides evidence of the positive impact of tourism (through the accommodation capacity) on the growth in per-capita income among the Portuguese regions, increasing the rate of convergence. Therefore, tourism can be considered as an alternative source for stimulating higher regional growth in Portugal, if the supply characteristics of this sector are improved.     

On optimal investiment strategies

Suppose an investor has a fixed decision horizon and an appropriate utility function for measuring his or her utility of wealth. If there are only two investment vehicles, a risky and a risk-free asset, then the optimal investment strategy is such that, at any time, the amount invested in the risky asset must be the product of his or her “current risk tolerance” and the risk premium on the risky asset, divided by the square of the diffusion coefficient of the risky asset. In the case of more than one risky asset, the optimal investment strategy is similar, with the ratios of the amounts invested in the different risky assets being constant over time.     

Transformational Outsourcing

Outsourcing was once simply seen as a means of controlling costs. Now it is increasingly regarded as a means of achieving a step–change in performance and agility.     

The Challenge Facing SMEs in the Eu’s New Member States

The paper considers the main threats and opportunities for SMEs in new member states, arising out of EU membership, including the implications for SMEs at the micro level. Whilst accession-related changes have important potential implications for firms of all sizes, the distinctive size-related characteristics of SMEs affect their ability to identify, cope with and respond to new sources of threat and opportunity. These potential impacts face new member countries at a relatively early stage in the development of market-based systems, which still contain many deficiencies (particularly in institutional terms) and a SME sector with many characteristics that reflect its fledgling status.