Branko Urosevic, Diego Garcia Aug 02,2023
Working Paper No.00120-00
We study a novel class of noisy rational expectations equilibria in markets with large number of agents. We show that,... Read More
Maren Vairo, Piotr Dworczak Aug 11,2023
Working Paper No.00125-00
Financial over-the-counter markets have been traditionally very opaque. Recent regulation promotes transparency in some of these markets by lowering search... Read More
Giovanni Cespa, Xavier Vives Dec 04,2023
Working Paper No.00131-00
We show that, consistent with empirical evidence, access to order flow information allows traders to supply liquidity via contrarian marketable... Read More
James Dow , Jungsuk Han Francesco Sangiorgi Dec 15,2023
Working Paper No.00132-00
Does the stock market exert short-term pressure on listed firms, do they respond, and is this response value reducing? We... Read More
Published: Journal of Financial Economics, 2024, (), -Thierry Foucault,Stefano Lovo, Jean-Edouard Colliard Oct 27,2022
Working Paper No.00081-00
We let “Algorithmic Market-Makers” (AMMs), using Q-learning algorithms, choose prices for a risky asset when their clients are privately informed... Read More
Batchimeg Sambalaibat Jul 07,2021
Working Paper No.00072-00
I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that... Read More
Efstathios Avdis Oct 08,2020
Working Paper No.00051-02
Long-held intuition dictates that information-based trade is impossible without exogenous noise. Risk seekers can resolve this conundrum. Even though such... Read More
Brett Green , William Fuchs , Vladimir Asriyan Nov 05,2019
Working Paper No.00032-01
How effectively does a decentralized marketplace aggregate information that is dispersed throughout the economy? We study this question in a... Read More
Published: Journal of Economic Theory, 2021, (), -Dana Foarta, Vladimir Asriyan Victoria Vanasco Nov 05,2019
Working Paper No.00053-00
We study the joint determination of product quality and complexity in a rational setting. We introduce a novel notion of... Read More
Published: AEJ-Micro, 2023, 15(2), 187-226Peter Kondor , Adam Zawadowski Mar 12,2018
Working Paper No.00031-00
We study a capital reallocation problem in which investors can enter into a new market where they compete with each other... Read More