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Flow Trading
Budish, Eric B.; Cramton, Peter C.; Kyle, Albert S.; … - National Bureau of Economic Research - 2023
We introduce and analyze a new market design for trading financial assets. The design allows traders to directly trade any user-defined linear combination of assets. Orders for such portfolios are expressed as downward-sloping piecewise-linear demand curves with quantities as flows...
Persistent link: https://www.econbiz.de/10014250116
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Business, Liquidity, and Information Cycles
Bostanci, Gorkem; Ordoñez, Guillermo - National Bureau of Economic Research - 2024
Stock markets play a dual role: help allocate capital by conveying information about firms' fundamentals and provide liquidity by quickly turning stocks into cash. We propose a trading model in which these two roles are endogenously related: more intensive use of stocks for liquidity affects...
Persistent link: https://www.econbiz.de/10014544779
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Selection-Neglect in the NFT Bubble
Huang, Dong; Goetzmann, William N. - National Bureau of Economic Research - 2023
Using transaction data from a large non-fungible token (NFT) trading platform, this paper examines how the behavioral bias of selection-neglect interacts with extrapolative beliefs, accelerating the boom and delaying the crash in the recent NFT bubble. We show that the price-volume relationship...
Persistent link: https://www.econbiz.de/10014322885
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Mechanism Design Approaches to Blockchain Consensus
Gans, Joshua; Holden, Richard T. - National Bureau of Economic Research - 2022
Blockchain consensus is a state whereby each node in a network agrees on the current state of the blockchain. Existing … unexplored area of blockchain consensus and has the potential to mitigate known trade-offs and enhance scalability …
Persistent link: https://www.econbiz.de/10013334407
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How Artificial Intelligence and Machine Learning Can Impact Market Design
Milgrom, Paul R. - 2018
In complex environments, it is challenging to learn enough about the underlying characteristics of transactions so as to design the best institutions to efficiently generate gains from trade. In recent years, Artificial Intelligence has emerged as an important tool that allows market designers...
Persistent link: https://www.econbiz.de/10012453432
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The Bidder Exclusion Effect
Coey, Dominic - 2014
We introduce a simple and robust approach to answering two key questions in empirical auction analysis: discriminating … between models of entry and quantifying the revenue gains from improving auction design. The approach builds on Bulow and … and auction formats without requiring instruments or estimation of a complex structural model. We demonstrate the approach …
Persistent link: https://www.econbiz.de/10012458142
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Refinancing Frictions, Mortgage Pricing and Redistribution
Berger, David; Milbradt, Konstantin; Tourre, Fabrice; … - National Bureau of Economic Research - 2024
There are large cross-sectional differences in how often US borrowers refinance mortgages. In this paper, we develop an equilibrium mortgage pricing model with heterogeneous borrowers and use it to show that equilibrium forces imply important cross-subsidies from borrowers who rarely refinance...
Persistent link: https://www.econbiz.de/10014468222
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Ethics and Illusions : How Ethical Declarations Shape Market Behavior
Barrios, John M.; Bertomeu, Jeremy; Lunawat, Radhika; … - National Bureau of Economic Research - 2024
privately-informed sellers issue a public report prior to a first-price auction. We find that while signing an ethical statement …
Persistent link: https://www.econbiz.de/10014528424
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Q-Monetary Transmission
Jeenas, Priit; Lagos, Ricardo - National Bureau of Economic Research - 2022
We study the effects of monetary-policy-induced changes in Tobin's q on corporate investment and capital structure. We develop a theory of the mechanism, provide empirical evidence, evaluate the ability of the quantitative theory to match the evidence, and quantify the relevance for monetary...
Persistent link: https://www.econbiz.de/10013210051
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Do Sell-Side Analysts Say "Buy" While Whispering "Sell"?
Hirshleifer, David; Shi, Yushui; Wu, Weili - National Bureau of Economic Research - 2022
We examine how sell-side equity analysts strategically disclose information of differing quality to the public versus the buy-side mutual fund managers to whom they are connected. We consider cases in which analysts recommend that the public buys a stock, but some fund managers sell it. We...
Persistent link: https://www.econbiz.de/10013210060