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Sharing asymmetric tail risk : smoothing, asset prices and terms of trade

Corsetti, Giancarlo; Lipinska, Anna; Lombardo, Giovanni - 2021

Persistent link: https://www.econbiz.de/10012700479

Sharing asymmetric tail risk: smoothing, asset pricing and terms of trade

Corsetti, Giancarlo; Lipińska, Anna; Lombardo, Giovanni - 2021

Persistent link: https://www.econbiz.de/10012620824

Sharing asymmetric tail risk : smoothing, asset pricing and terms of trade

Corsetti, Giancarlo; Lipinska, Anna; Lombardo, Giovanni - 2021

Persistent link: https://www.econbiz.de/10012601997

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Persistent link: https://www.econbiz.de/10012703265

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...