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Day Traders, Noise, and Cost of Immediacy
Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023
market liquidity and trading of other market participants. IDT contribute 10% to volume while losing 3.2 bp (73% of the half …-spread) on average on trades with others, including proprietary day traders (PDT), the primary intraday-liquidity providers, and … activity. This pattern is consistent with competition among PDT. Our results highlight the importance of IDT's presence in …
Persistent link: https://www.econbiz.de/10014250145
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Portfolio choice with illiquid assets
Ang, Andrew; Papanikolaou, Dimitris; Westerfield, Mark M. - In: Management science : journal of the Institute for … 60 (2014) 11, pp. 2737-2761
Persistent link: https://www.econbiz.de/10010461809
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Do high-frequency traders anticipate buying and selling pressure?
Hirschey, Nicholas - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3321-3345
Persistent link: https://www.econbiz.de/10012606893
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Margin-Based Asset Pricing and Deviations from the Law of One Price
Gârleanu, Nicolae - 2011
. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …
Persistent link: https://www.econbiz.de/10012461880
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Liquidity Shocks and Order Book Dynamics
Biais, Bruno - 2009
monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a …
Persistent link: https://www.econbiz.de/10012463640
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Predatory Trading
Brunnermeier, Markus K. - 2004
overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …
Persistent link: https://www.econbiz.de/10012467935
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Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision
Bartlett, Robert P, III. - 2015
national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …
Persistent link: https://www.econbiz.de/10012457381
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The bull of Wall Street : experimental analysis of testosterone and asset trading
Nadler, Amos; Jiao, Peiran; Johnson, Cameron J.; … - In: Management science : journal of the Institute for … 64 (2018) 9, pp. 4032-4051
Persistent link: https://www.econbiz.de/10011921474
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The Lucas Orchard
Martin, Ian - 2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10012461095
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Advances in Consumption-Based Asset Pricing : Empirical Tests
Ludvigson, Sydney C. - 2011
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the...
Persistent link: https://www.econbiz.de/10012461847