CUTTING EDGE - Market risk - A dynamic model for hard-to-borrow stocks - Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in', in the sense that their positions may be closed out by the clearing firm at market prices. The authors present a model for the dynamics of these 'hard-to-borrow' stocks, concluding that such restrictions result in ...
Year of publication: |
2009
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Authors: | Avellaneda, Marco ; Lipkin, Mike |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 6, p. 92-97
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