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This paper extends and refines the Jarrow et al. (2006, 2008) arbitrage free pricing theory for bubbles to characterize forward and futures prices. Some new insights are obtained in this regard. In particular, we: (i) provide a canonical process for asset price bubbles suitable for empirical...
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liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when …
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execute market orders at limit order prices and without incurring any liquidity costs themselves. The second is by "front …
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