We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...

Our objective is to understand the trading strategy that would allow an investor to take advantage of quot;excessivequot; stock price volatility and quot;sentimentquot; fluctuations. We construct a general equilibrium model of sentiment. In it, there are two classes of agents and stock prices...

Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and...

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...

We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...

We analyze a dynamic model of informed trading where a shareholder accumulates shares in an anonymous market and then expends costly effort to change the firm value. We find that equilibrium prices are affected by the position accumulated by the shareholder, because the level of effort...

The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the S&P 500 index and the detection of End-of-Bubble signals with their corresponding confidence levels. We use monthly S&P 500 data covering the period from August 1791 to August...

This paper analyzes brief episodes of high-intensity quotes turnover and revision-"bursts" in quotes-in the U.S. equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price impact associated with these market makers...