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A Theory of Asset Prices Based on Heterogeneous Information
Albagli, Elias - 2012
We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of … variability of prices exceeds the variability of realized dividends. We conclude with two applications of our theory. First, we …
Persistent link: https://www.econbiz.de/10013109130
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Behavior of Financial Markets Efficiency During the Financial Market Crisis : 2007-2009
Plastun, Oleksiy - 2014
This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of...
Persistent link: https://www.econbiz.de/10013046766
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MIFID, French Equity Markets Fragmentation and Intraday Volatilities : A Network Analysis
Bastidon, Cécile - 2018
three superiods: prior to the introduction of competition (2000/01-2007/11), during the transitory period of rising …
Persistent link: https://www.econbiz.de/10012928878
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Trading by professional traders: an experiment
Cipriani, Marco; De Filippis, Roberta; Guarino, Antonio; … - 2020
We examine how professional traders behave in two financial market experiments; we contrast professional traders' behavior to that of undergraduate students, the typical experimental subject pool. In our first experiment, both sets of participants trade an asset over multiple periods after...
Persistent link: https://www.econbiz.de/10012259899
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A Theory of Asset Prices Based on Heterogeneous Information
Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh - 2011
We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of … prices exceeds the variability for realized dividends. We conclude with two applications of our theory. First, we highlight …
Persistent link: https://www.econbiz.de/10014176375
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The Impact of Anonymity on Unsophisticated Liquidity and Changing Information Asymmetry
Li, Yijie - 2019
announcements, the duration-until-next-unsophisticated-order (DUNUO)—a novel unsophisticated liquidity measure—following an …
Persistent link: https://www.econbiz.de/10012892982
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A tale of two cities : inter-market latency and fast-trader competition
Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024 - This version: July 10, 2024
We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave … increased contribution to price discovery by the smaller exchange. Liquidity worsens for large caps due to increased sniping but … improves for mid caps due to fast liquidity provision. Trading volume on the smaller exchange declines across all stocks. We …
Persistent link: https://www.econbiz.de/10015065826
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Patience vs. Impatience of Traders : Formation of the Value-at-Price Distribution Through Competition for Liquidity
Lerner, Peter - 2016
-frequency trading. To elucidate competition between traders one has to formulate to a quantitative theory of formation of the execution … price from market expectations and quotes. This theory was provided in 2005 by Foucault, Kadan and Kandel. I derive … of trading as competition for immediacy of execution between traders. The results are qualitatively compared with …
Persistent link: https://www.econbiz.de/10013008087
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Ten Propositions About Liquidity Crises
Borio, Claudio E. V. - 2010
What are liquidity crises? And what can be done to address them? This short article brings together some personal … issues: the distinction between idiosyncratic and systematic elements of liquidity crises; the growing reliance on funding … liquidity in a market-based financial system; the role of payment and settlement systems; the need to improve liquidity buffers …
Persistent link: https://www.econbiz.de/10013147647
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Ten Propositions About Liquidity Crises
Borio, Claudio E. V. - 2013
What are liquidity crises? And what can be done to address them? This short paper brings together some personal …: the distinction between idiosyncratic and systematic elements of liquidity crises; the growing reliance on funding … liquidity in a market-based financial system; the role of payment and settlement systems; the need to improve liquidity buffers …
Persistent link: https://www.econbiz.de/10013095362