Similar Search Results

Trader positions and marketwide liquidity demand

Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017

changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading …. Using a rich regulatory dataset on S&P 500 E-mini futures and 10-year Treasury futures markets, we show that this liquidity …

Persistent link: https://www.econbiz.de/10011803199

Transparency and collateral : central versus bilateral clearing

Antinolfi, Gaetano; Carapella, Francesca; Carli, Francesco - 2018

Bilateral financial contracts typically require an assessment of counterparty risk. Central clearing of these financial contracts allows market participants to mutualize their counterparty risk, but this insurance may weaken incentives to acquire and to reveal information about such risk. When...

Persistent link: https://www.econbiz.de/10011927083

Price pressure and price discovery in the term structure of interest rates

Mixon, Scott; Tuzun, Tugkan - 2018

We study the price pressure and price discovery effects in the U.S. Treasury market by using a term structure model. Our model decomposes yield curve shifts into two components: a virtually permanent change related to order flow and a transitory, price pressure effect due to dealer inventories....

Persistent link: https://www.econbiz.de/10012016240

Transparency and collateral : the design of CCPs' loss allocation rules

Antinolfi, Gaetano; Carapella, Francesca; Carli, Francesco - 2019

This paper adopts a mechanism design approach to study optimal clearing arrangements for bilateral financial contracts in which an assessment of counterparty risk is crucial for efficiency. The economy is populated by two types of agents: a borrower and lender. The borrower is subject to limited...

Persistent link: https://www.econbiz.de/10012182024

Collateralized debt networks with lender default

Chang, Jin Wook - 2019

The Lehman Brothers' 2008 bankruptcy spread losses to its counterparties even when Lehman was a lender of cash, because collateral for that lending was tied up in the bankruptcy process. I study the implications of such lender default using a general equilibrium network model featuring...

Persistent link: https://www.econbiz.de/10012388117

Customer liquidity provision : implications for corporate bond transaction costs

Choi, Jaewon; Huh, Yesol - 2017 - Current draft: October 2017

The convention in calculating trading costs in corporate bond markets is to assume that dealers provide liquidity to … provide liquidity in corporate bond markets, and thus, average bid-ask spreads underestimate trading costs that customers … demanding liquidity pay. Compared with periods before the 2008 financial crisis, substantial amounts of liquidity provision have …

Persistent link: https://www.econbiz.de/10011803677

Information and liquidity of OTC securities : evidence from public registration of Rule 144A bonds

Han, Song; Huang, Alan Guoming; Madhu, Kalimipalli,; … - 2018 - This version: June, 2018

the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using … results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity …

Persistent link: https://www.econbiz.de/10012016179

Only winners in tough times repeat : hedge fund performance persistence over different market conditions

Sun, Zheng; Wang, Ashley W.; Lu, Zheng - 2016 - This draft: March 2016

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioned on the level of overall hedge fund sector...

Persistent link: https://www.econbiz.de/10011500226

Microstructure invariance in U.S. stock market trades

Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016

This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly...

Persistent link: https://www.econbiz.de/10011500337

The origins of aggregate fluctuations in a credit network economy

Altinoglu, Levent - 2018

I show that inter-firm lending plays an important role in business cycle fluctuations. I first build a tractable network model of the economy in which trade in intermediate goods is financed by supplier credit. In the model, a financial shock to one firm affects its ability to make payments to...

Persistent link: https://www.econbiz.de/10011932181