Archives for CORE

Shared Information Sources in Exchanges Mariann Ollár (University of Groningen) In financial and commodity exchanges, traders gain information from shared information sources, such as commonly accessed forecasts and standardized reports, which induce interdependence in forecast errors. In...

Retail Competition with Switching Consumers in Electricity Markets Carlos RUIZ, Universidad Carlos III de Madrid In this work we consider a game theoretical model where asymmetric electricity retailers compete in prices to increase their profits by accounting for the utility function of...

Derivative-free trust-region algorithms for composite nonsmooth optimization Geovani NUNES GRAPIGLIA, University of Parana, Brazil In this talk, we consider derivative-free trust-region algorithms to the problem of minimizing a composite function $\Phi(x)=f(x)+h(c(x))$, where $f$ and $c$...

The Impact of Clearing Fees on Market Quality Hans Degryse, KU Leuven This paper aims to provide a more integrated view of market quality by linking the whole value chain in securities transactions: trading and post-trading. We empirically study the impact of post-trade fees, particularly...