Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book transactions has a significantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classified in categories according to their trading profile (iii) there is a strong anticorrelation between the daily inventory variation of a market member due to the on-book market transactions and inventory variation due to the off-book market transactions with non-members, and (iv) the autocorrelation of the sign of the orders of non-members in the off-book market is slowly decaying. We also analyze the on-book price impact function over time, both for positive and negative lags, of the electronic trades and of the off-book trades. The unconditional impact curves are very different for the electronic trades and the off-book trades. Moreover there is a small dependence of impact on the volume for the on-book electronic trades, while the shape and magnitude of impact function of off-book transactions strongly depend on volume.Comment: 16 pages, 9 figure

Bank-firm credit network in Japan. An analysis of a bipartite network

We present an analysis of the credit market of Japan. The analysis is performed by investigating the bipartite network of banks and firms which is obtained by setting a link between a bank and a firm when a credit relationship is present in a given time window. In our investigation we focus on a community detection algorithm which is identifying communities composed by both banks and firms. We show that the clusters obtained by directly working on the bipartite network carry information about the networked nature of the Japanese credit market. Our analysis is performed for each calendar year during the time period from 1980 to 2011. Specifically, we obtain communities of banks and networks for each of the 32 investigated years, and we introduce a method to track the time evolution of these communities on a statistical basis. We then characterize communities by detecting the simultaneous over-expression of attributes of firms and banks. Specifically, we consider as attributes the economic sector and the geographical location of firms and the type of banks. In our 32 year long analysis we detect a persistence of the over-expression of attributes of clusters of banks and firms together with a slow dynamics of changes from some specific attributes to new ones. Our empirical observations show that the credit market in Japan is a networked market where the type of banks, geographical location of firms and banks and economic sector of the firm play a role in shaping the credit relationships between banks and firms.Comment: 9 pages, 4 figures, 2 Table

Clustering Evolutionary Stock Market Model

As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which may grow or collapse with the evolution of the system. To mimic an open market, we allow some ones participate in or exit the market suggesting that the number of the agents would fluctuate. Simulation results show that the large events are frequent in the fluctuations of the stock price generated by the artificial stock market when compared with a normal process and the price return distribution is a \emph{l\'{e}vy} distribution in the central part followed by an approximately exponential truncation.Comment: 9 pages, 8 figure

E-commerce evolution in Hungary: an investigation of critical succes factor

In this paper we highlight how the use of internet has changed from 2004 to 2009 among Hungarian companies, how their expectations about the role of e-commerce as a competitive advantage has evolved and whether perceived benefits of e-commerce show a shift from 2004 to 2009.We investigate the role of environmental factors and market orientation as two relevant types of critical success factors proposed by the management literature and measure their impacts on Internet usage, expectations about e-commerce and perceived benefits of ecommerce. Our findings suggest that market orientation has a positive effect on Internet usage and perceived benefits of e-commerce. Internet usage and expectations are dependent on the vulnerability of the company to its macroeconomic environment. The positive outcomes of joining the EU seem to influence whether a company is able to exploit e-commerce benefits

Usages of the internet and e-tourism. Towards a new economy of tourism

This paper analyses the impact of internet on the organization of industry and the marketdynamics in the tourism activities, focusing in the European scene. Tourism incorporates many features ofthe contemporaneous information and communication economy. Even if e-tourism still stands for a smallshare of the whole tourism activity, the paper establishes that the internet basically explains theorganization of the activities and markets that emerge today. A relevant analytical framework able toapprehend these dynamics is first defined. The concept of sectoral system of production and innovation isshown to provide a relevant analytical framework to grasp the basic changes of the tourism industry. Thepaper enlightens on this basis the evolution resulting from the emergence of e-tourism and the uses ofinternet, their impacts on the coordination of the activities and the markets, with a special focus on theEuropean caseTourism; Sectoral Systems of Production and Innovation;ICT; Virtual Communities; GDS

Making PayPal Pay: Regulation E and Its Application to Alternative Payment Services

In light of the growth of data breaches in both occurrence and scale, it is more important than ever for consumers to be aware of the protections afforded to them under the law regarding electronic fund transfers and alternative payment services. Additionally, it is important that agencies like the Consumer Financial Protection Bureau (“CFPB”), charged with the protection of unsuspecting and often defenseless consumers, are carefully monitoring these protections to ensure they keep pace with the technological evolution of the payment services they regulate. Alternative payment services, such as PayPal, are conducting an enormous number of payments and providing an extremely beneficial service in the era of e-commerce. This Issue Brief argues that, as currently written, the Electronic Fund Transfer Act, implemented by Regulation E, does not adequately protect consumers using these alternative payment services. Regulation E is insufficiently specific and provides circular language in its key definitions, including those for the terms “financial institution” and “account.” These deficiencies could leave consumers engaged with alternative payment services in the unique position of facing unlimited liability for losses resulting from unauthorized electronic fund transfers from their alternative payment service account. Thus, this Issue Brief argues that in order to ensure that Regulation E is written broadly enough to apply to all the functions of PayPal, the CFPB should clarify its language