We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large … conditions for the identifiability of model parameters from time series of asset prices, propose an estimator for the magnitude …

liquidity and volatility. To identify causality, we rely on the unique design of this tax that is imposed only on large French … measures of liquidity, such as price impact, and no significant effect on volatility. The results are robust if we rely on …In this paper, we assess the impact of the securities transaction tax (STT) introduced in France in 2012 on market …

Internet. We are taking advantage of the digital world's specific rules to propose a theory of trading & sharing unified. A …

Securities markets theory includes repo and distinguishes shorting from issuing. Here we revisit whether trading alone …-hypothecation (e.g., through segregated haircut rules or explicit leverage constraints on haircut collecting dealers), (1) trading …

transactions is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming approach …

We study a local interaction model where agents play a finite n-person game following a perturbed best-response process …

. For that, we consider a model of population dynamics. This model has allowed us to make the comparison without and with …