In intermediated markets, trading takes time and intermediaries extract rents. We estimate a structural search‑and‑bargaining model to quantify these trading delays, intermediaries’ ability to extract rents, and the resulting welfare losses in government and corporate bond markets. Using...

In intermediated markets, trading takes time and intermediaries extract rents. We estimate a structural search-and-bargaining model to quantify these trading delays, intermediaries’ ability to extract rents, and the resulting welfare losses in government and corporate bond markets. Using...

A conventional “average price” index measuring appreciation for single family houses in the U.S. from 1970 to 2000 reports nominal appreciation of 6.2 percent annually, and real appreciation of 1.3 percent. An “average price” index is systematically biased, however, due to the annual...

Closing auctions are increasingly important liquidity events in global equity markets. Examining European markets, we show increases in closing auction activity are not solely due to increases in index investing. Elevated auction activity, especially on index rebalancing days, contributes to...

In this short paper we outline the Newton-Raphson methods used for solving and minimizing complex equations that often have no analytical solution. We outline the formulae, their origins and give a simple example of their application

In “traditional” market microstructure, limit orders are usually viewed as patiently supplying liquidity. Building upon Hasbrouck & Saar (2008), we argue that this assumption does not necessarily have to hold true in today's electronic markets and derive implications for liquidity...

We show empirical evidence that there may not be a tradeoff between market income inequality and high sustained growth, which is key for poverty alleviation. We argue that the economies that achieved high sustained growth and low market income inequality are characterized by dynamism-a drive...

Suppose there is Bitcoin nation and its currency bitcoin; with market capitalization of $1.086 trillion on 21 February 2021, Bitcoin’s market value (17th among G20) has surpassed GDPs of Netherlands ($909 billion), Saudi Arabia ($793 billion), Turkey ($754 billion), and Switzerland ($703...

In a limit order market, orders submitted at about the same time are subject to random latencies and will be queued accordingly. A theoretical model captures the strategic behavior of market makers who, in anticipation of such queuing uncertainty, fiercely compete for the rent in liquidity...

This paper analyzes the effect of circuit breakers on price ehavior, trading volume, and profit-making ability in a market setting. We conduct nine experimental asset markets to compare behavior across three regulatory regimes: market closure, temporary halt, and no interruption. The presence of...