Most markets clear through a sequence of sales rather than through a Walrasian auctioneer. Because buyers can decide between buying now or later, rather than only now or never, buyers' current 'willingness to pay' is much more sensitive to price than is the demand curve. A consequence is that...

In this paper we analyse market co-movements during the global financial crisis. Using high frequency data and accounting for market microstructure noise and non-synchronous trading, interdependencies between differing as-set classes such as equity, FX, fixed income, commodity and energy...