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Strategic Liquidity Provision in Limit Order Markets

Back, Kerry; Baruch, Shmuel - In: Econometrica 81 (2013) 1, pp. 363-392

Persistent link: https://www.econbiz.de/10010692325

Activism, Strategic Trading, and Liquidity

Back, Kerry; Collin-Dufresne, Pierre; Fos, Vyacheslav; … - In: Econometrica 86 (2018) 4, pp. 1431-1463

Persistent link: https://www.econbiz.de/10012097961

Information in Securities Markets: Kyle Meets Glosten and Milgrom

Back, Kerry; Baruch, Shmuel - In: Econometrica 72 (2004) 2, pp. 433-465

This paper analyzes models of securities markets with a single strategic informed trader and competitive market makers. In one version, uninformed trades arrive as a Brownian motion and market makers see only the order imbalance, as in Kyle (1985). In the other version, uninformed trades arrive...

Persistent link: https://www.econbiz.de/10005332708

Implied Probabilities in GMM Estimators.

Back, Kerry; Brown, David P - In: Econometrica 61 (1993) 4, pp. 971-75

Persistent link: https://www.econbiz.de/10005702069