A Model of Stochastic Liquidity
Year of publication: |
2003-06-01
|
---|---|
Authors: | Watanabe, Masahiro |
Institutions: | School of Management, Yale University |
Subject: | Kyle model | liquidity | stochastic and realized volatility | Bayesian Markov-Chain Monte-Carlo (MCMC) | GARCH | trading volume |
-
Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre, (2016)
-
Stock-based compensation and insider trading with liquidity signal
Hahn, Guangsug, (2022)
-
Baklaci, Hasan F., (2011)
- More ...
-
Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
Brown, Stephen, (2002)
-
Price Impact Costs and the Limit of Arbitrage
Chen, Zhiwu, (2002)
-
Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
Brown, Steven J., (2002)
- More ...