FROM STRONG ECONOMIC GROWTH TO REAL CRISIS IN ROMANIA – HOW BAD IS THE PICTURE?
The present crisis started in United States, the main motor of the present systemic crisis, as a financial failure. It spread rapidly in the economic area and also world wide. No economy was spared, and the emerging economies, among them Romania, were vis
Romania's EU Accession Impact on the Development of Romanian Economy
Romania joined the EU on January 1, 2007. Becoming a full member had effects on both Romania and the European Union. Once the Association Treaty had been signed, a complex process of integration began. The integration process didn’t end after Romania’s EU accession but will continue to integrate the economies of all Member States. The questions that we answer are: Which were the effects felt by Romania in the pre-accession period? What happened after the accession to the European Union?
When to Cross the Spread? Trading in Two-Sided Limit Order Books
In this paper the problem of optimal trading in illiquid markets is addressed when the deviations from a given stochastic target function describing, for instance, external aggregate client flow are penalized. Using techniques of singular stochastic control, we extend the results of [F. Naujokat and N. Westray, Math. Financ. Econ., 4 (2011), pp. 299--335] to a two-sided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. In addition to using market orders, the trader can also submit orders to a dark pool. We first show existence and uniqueness of an optimal control. In a second step, a suitable version of the stochastic maximum principle is derived which yields a characterization of the optimal trading strategy in terms of a nonstandard coupled forward-backward stochastic differential equation (FBSDE). We show that the optimal control can be characterized via buy, sell, and no-trade regions. The new feature is that we now get a nondegenerate no-...