We document a significant, up to 10-fold increase in the intra-day correlation of firm-specific and market returns over the last decade. This surge in the intra-day correlation of returns coincided with the advent of electronic, automated trading in U.S. markets. Using changes to the S&P500...

Rational herd behavior and informationally efficient security prices have long been considered to be mutually exclusive but for exceptional cases. In this paper we describe the conditions on the underlying information structure that are necessary and sufficient for informational herding and...

There are two varieties of timing games in economics: In a war of attrition, more predecessors helps; in a pre-emption game, more predecessors hurts. In this paper, we introduce and explore a spanning class with 'rank-order payoffs' that subsumes both as special cases. In this environment with...

Blockchain-based decentralized exchanges (DEXes) are a pre-requisite for the nascent decentralized finance ecosystem. The most successful form of DEX in terms of trading volume are swap exchanges, smart contracts that pool liquidity and that price transactions with a deterministic function....

Global economic digitization continues to advance at exponential speed. This development is in sharp contrast to the financial sector and payment systems that still operate on legacy infrastructure that lacks the flexibility to serve those technology needs. Further, the emergence of...

We develop a tractable continuum player timing game that subsumes wars of attrition and pre-emption games, in which greed and fear relax the last and first mover advantages. Payoffs are continuous and single-peaked functions of the stopping time and quantile. Time captures the payoff-relevant...

When a company goes public, it is standard practice that the underwriting syndicate allocates more shares than issued. The underwriter thus holds a short position that it commonly fills by aftermarket trading when market prices fall or, when prices rise, by executing the so-called overallotment...

There are two varieties of timing games in economics: wars of attrition, in which having more predecessors helps, and pre-emption games, in which having more predecessors hurts. This paper introduces and explores a spanning class with rank-order payoffs that subsumes both varieties as special...