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~person:"Foucault, Thierry"
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Foucault, Thierry
Madan, Dilip B.
94
Gupta, Rangan
93
Bali, Turan G.
91
Theissen, Erik
86
Platen, Eckhard
79
Akram, Tanweer
73
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73
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63
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61
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60
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59
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59
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1
Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni
;
Foucault, Thierry
-
2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010303742
Saved in:
2
Does Anonymity Matter in Electronic Limit Order Markets?
Foucault, Thierry
;
Moinas, Sophie
;
Theissen, Erik
-
2004
Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004: We develop a model of limit order
trading
in …
Persistent link: https://www.econbiz.de/10010333878
Saved in:
3
Does anonymity matter in electronic limit order markets?
Foucault, Thierry
;
Moinas, Sophie
;
Theissen, Erik
-
2005
is based on a model of limit order
trading
in which traders have information on future price volatility. As limit orders …
Persistent link: https://www.econbiz.de/10010308662
Saved in:
4
Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni
;
Foucault, Thierry
-
2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010280788
Saved in:
5
Inventory management, dealers' connections, and prices in OTC markets
Colliard, Jean-Edouard
;
Foucault, Thierry
;
Hoffmann, Peter
-
2021
We propose a new model of
trading
in OTC markets. Dealers accumulate inventories by
trading
with end-investors and … trade among each other to reduce their inventory holding costs. Core dealers use a more efficient
trading
technology than …
Persistent link: https://www.econbiz.de/10012515450
Saved in:
6
Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni
(
contributor
);
Foucault, Thierry
(
contributor
)
-
2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10003740321
Saved in:
7
Does anonymity matter in electronic limit order markets?
Foucault, Thierry
;
Moinas, Sophie
;
Theissen, Erik
-
2005
-
This Draft: May, 2005
Order
Trading
; Anonymity ; Transparency ; Liquidity ; Volatility
Forecasts
… is based on a model of limit order
trading
in which traders have information on future price volatility. As limit orders …
Persistent link: https://www.econbiz.de/10009524806
Saved in:
8
Does anonymity matter in electronic limit order markets?
Foucault, Thierry
;
Moinas, Sophie
;
Theissen, Erik
-
2004
-
This Draft: May, 2004
We develop a model of limit order
trading
in which some traders have better information on future price volatility. As …
Persistent link: https://www.econbiz.de/10010361995
Saved in:
9
Toxic arbitrage
Foucault, Thierry
;
Kozhan, Roman
;
Tham, Wing Wah
-
2015
expose dealers to the risk of
trading
at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities …
Persistent link: https://www.econbiz.de/10010499534
Saved in:
10
False news, informational efficiency, and price reversals
Dugast, Jérôme
;
Foucault, Thierry
-
2015
Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...
Persistent link: https://www.econbiz.de/10010499565
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