structure of price interdependencies across stocks. For correct empirical network determination of such dynamic liquidity price … bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …

In the context of an equilibrium model with multiple risky assets, we map the characteristics of the network connecting … firms' fundamentals to the cross-section of expected returns. We interpret network connectivity as the ability to transfer a … the model to the data and estimate the network structure. In accordance with theoretical predictions, we find evidence of …

We study investor networks in the stock market, through the lens of information network theory. We use a unique account … behavior as linked in an empirical investor network (EIN). This empirical investor network is consistent with several … predictions from the theory of information networks. The EIN is relatively stable over time, centrally placed investors earn …

propose an algorithm to tackle type-I errors in identifying the stock tickers. We find strong evidence for the comovement … network attention proxy, network degree, provides a robust and significant cross-sectional predictability of the monthly stock …