Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10011544477
I develop a dynamic general equilibrium model of exchange traded funds (ETFs) that accounts for the two-tier ETF market structure with both a centralized exchange (secondary market) and a creation/redemption mechanism (primary market) operating through market-making firms known as Authorized...
Persistent link: https://www.econbiz.de/10011412317
Persistent link: https://www.econbiz.de/10009629012
We develop a general model of decentralized exchange. Our model allows for any number of traders and traded assets, and any form of market decentralization, including trading environments determined by an arbitrary network structure. We study how the equilibrium allocation and liquidity depend...
Persistent link: https://www.econbiz.de/10010257513
Persistent link: https://www.econbiz.de/10011761139
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance—in terms of SDF Sharpe ratio and average pricing errors—is improving in model parameterization (or “complexity”). Our results predict that the best...
Persistent link: https://www.econbiz.de/10014254198
We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multidimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a...
Persistent link: https://www.econbiz.de/10003971255
We study the market price of risk, the stock volatility and the hedging behavior in equilibrium of heterogeneous agents with arbitrary utility functions, consuming only at the end of the time horizon, and with the state variable following an arbitrary homogeneous diffusion process. We introduce...
Persistent link: https://www.econbiz.de/10013070718
I develop a dynamic general equilibrium model of exchange traded funds (ETFs) that accounts for the two-tier ETF market structure with both a centralized exchange (secondary market) and a creation/redemption mechanism (primary market) operating through market-making firms known as Authorized...
Persistent link: https://www.econbiz.de/10012985936