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Liquidity shocks and order book dynamics
Biais, Bruno; Weill, Pierre-Olivier - 2009
"We propose a dynamic competitive equilibrium model of limit order trading, based on the premise that investors cannot monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a significant fraction of investors lose their willingness and...
Persistent link: https://www.econbiz.de/10003849107
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Mispricing of S&P 500 index options
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - 2008
Persistent link: https://www.econbiz.de/10003791478
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Econometric models of limit-order executions
Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1997
Persistent link: https://www.econbiz.de/10000645107
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Model uncertainty and liquidity
Routledge, Bryan R.; Zin, Stanley E. - 2001
Persistent link: https://www.econbiz.de/10001637614
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Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - 2014
Persistent link: https://www.econbiz.de/10010440778
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Execution risk
Engle, Robert F.; Ferstenberg, Robert - 2006
Persistent link: https://www.econbiz.de/10003316915
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Optimal inattention to the stock market with information costs and transactions costs
Abel, Andrew B.; Eberly, Janice C.; Panageas, Stauros - 2009
Persistent link: https://www.econbiz.de/10003849119
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Dynamic trading with predictable returns and transaction costs
Garleanu, Nicolae; Pedersen, Lasse Heje - 2009
Persistent link: https://www.econbiz.de/10003870636
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Look at me now : what attracts US shareholders?
Ammer, John; Holland, Sara B.; Smith, David C.; … - 2006
Persistent link: https://www.econbiz.de/10003374698
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Durable consumption and asset management with transaction and observation costs
Alvarez, Fernando; Guiso, Luigi; Lippi, Francesco - 2010
Persistent link: https://www.econbiz.de/10003952124