HEC Paris

About: HEC Paris is a education organization based out in Jouy-en-Josas, France. It is known for research contribution in the topics: Investment (macroeconomics) & Market liquidity. The organization has 584 authors who have published 2756 publications receiving 104467 citations. The organization is also known as: Ecole des Hautes Etudes Commerciales & HEC School of Management Paris.

Trading Fees and Efficiency in Limit Order Markets

Abstract: Competition among trading platforms has considerably reduced trading fees in stock markets. We show that this evolution is not necessarily beneficial to investors. Although they increase gains from trade when a trade happens, lower trading costs can induce investors to post limit orders with a smaller execution probability. In this case, gains from trade are realized less frequently and investors can be worse off. Our model has testable implications for the effects of trading fees and their breakdown between liquidity suppliers and liquidity demanders on limit order fill rates and bid-ask spreads.

Do Science and Money Go Together? The Case of the French Biotech Industry

Abstract: Developing technological applications, entering exploitation alliances, and choosing between research- or service-focused strategic orientations are decisions that high-tech firms must manage concurrently. This article explores systematically the contrasting effects of these strategic determinants on rent generation and rent appropriation using the entire population of French biotech firms (1994‐2002). Findings indicate that science and money do not unconditionally go together‐the direct relationship between rent-accruing resources (e.g., patents or articles) and rent appropriation varies depending on the type of resources and the strategic orientation. Moreover, the effects of strategic determinants differ for rent generation vs. rent appropriation: 1) technological application diversity undermines a firm’s capacity to appropriate rents‐in particular for research-oriented firms; 2) exploitation alliances favor rent generation but hinder rent appropriation; 3) service-oriented firms exhibit significantly better performance than research-oriented firms. Such evidence challenges the emergence in the biotechnology industry of a ‘one-best’ strategic trajectory, as represented by research-intensive start-ups funded by private money engaged in publishing and patenting races. Copyright  2008 John Wiley & Sons, Ltd.

Liquidity Cycles and Make/Take Fees in Electronic Markets

Abstract: We develop a model in which the speed of reaction to trading opportunities is endogenous. Traders face a trade-off between the benefit of being first to seize a profit opportunity and the cost of attention required to be first to seize this opportunity. The model provides an explanation for maker/taker pricing, and has implications for the effects of algorithmic trading on liquidity, volume, and welfare. Liquidity suppliers' and liquidity demanders' trading intensities reinforce each other, highlighting a new form of liquidity externalities. Data on durations between trades and quotes could be used to identify these externalities.

Regularized Generalized Canonical Correlation Analysis: A Framework for Sequential Multiblock Component Methods.

Abstract: A new framework for sequential multiblock component methods is presented This framework relies on a new version of regularized generalized canonical correlation analysis (RGCCA) where various scheme functions and shrinkage constants are considered Two types of between block connections are considered: blocks are either fully connected or connected to the superblock (concatenation of all blocks) The proposed iterative algorithm is monotone convergent and guarantees obtaining at convergence a stationary point of RGCCA In some cases, the solution of RGCCA is the first eigenvalue/eigenvector of a certain matrix For the scheme functions x, [Formula: see text], [Formula: see text] or [Formula: see text] and shrinkage constants 0 or 1, many multiblock component methods are recovered