CORDIS Project
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This project investigates how different asset classes, like equities and bonds, influence each other's returns through order imbalances and private information. It aims to create a theoretical model linking these factors across international markets, enhancing our understanding of financial dynamics.
This work focuses on understanding international price discovery mechanisms and the nature of order imbalance (private information) relations between different asset classes.
Returns between equity and bond markets are related in the same economy due to active portfolio management.
Returns in the same asset class are affected by international price movements and exchange rate fluctuations, due to diversification.
Concurrently, research in market microstructure literature posits that the price di…
ERASMUS UNIVERSITEIT ROTTERDAM
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