Is the asset management sector a source of financial instability? This paper develops a macroprudential stress test model which enables the quanti fication of systemic vulnerabilities due to fi re sales in this sector. The model incorporates the flow-performance relationship as an additional...

Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...

How fast should a security trade? To answer this question, we model the trading of a security via periodic batch auctions and study how market quality depends on the clearing frequency of the auctions. In our model, the optimal clearing frequency is determined by four factors: (1) the volatility...