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Strategic Trading in a Dynamic Noisy Market
16 references·16 citing·41 second hopsampled
Strategic Trading in a Dynamic Noisy Market (2001)Strategic Trading in a Dynamic Noisy Mark…Are Some Mutual Fund Managers Better Than Others? Cross‐Sectional Patterns in Behavior and Performance (1999)Are Some Mutual Fund Managers…Optimal control of execution costs (1998)Optimal control of execution …The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…Strategic Trading When Agents Forecast the Forecasts of Others (1996)Strategic Trading When Agents…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIA Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Dynamic Thin Markets (2015)Dynamic Thin MarketsDynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality (2014)Dynamic Adverse Selection: A …A reinforcement learning extension to the Almgren-Chriss framework for optimal trade execution (2014)A reinforcement learning exte…Stock Repurchases and Liquidity (2013)Stock Repurchases and Liquidi…Market Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Market Liquidity -- Theory and Empirical Evidence (2012)Market Liquidity -- Theory an…A Model of Portfolio Delegation and Strategic Trading (2010)A Model of Portfolio Delegati…The on-the-run liquidity phenomenon (2009)The on-the-run liquidity phen…Strong-Form Efficiency with Monopolistic Insiders (2006)Strong-Form Efficiency with M…Option pricing with an illiquid underlying asset market (2005)Option pricing with an illiqu…Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …Large Investors: Implications for Equilibrium Asset Returns, Shock Absorption, and Liquidity (2005)Large Investors: Implications…Dynamic trading policies with price impact (2004)Dynamic trading policies with…Anonymity, Adverse Selection, and the Sorting of Interdealer Trades (2004)Anonymity, Adverse Selection,…Strategic trading and learning about liquidity (2002)Strategic trading and learnin…A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization (2001)A Theory of Mutual Funds: Opt…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)Aspects of the Theory of Risk-Bearing. 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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1999Are Some Mutual Fund Managers Better Than Others? Cross‐Sectional Patterns in Behavior and Performance1,002 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1996Strategic Trading When Agents Forecast the Forecasts of Others

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507 cited
  • 1992Insider Trading in Continuous Time468 cited
  • Cited by

    • 2014Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality210 cited
    • 2005Option pricing with an illiquid underlying asset market134 cited
    • 2009The on-the-run liquidity phenomenon123 cited
    • 2005Optimal Trading Strategy and Supply/Demand Dynamics108 cited
    • 2013Market Liquidity—Theory and Empirical Evidence101 cited
    • 2004Dynamic trading policies with price impact95 cited
    • 2015Dynamic Thin Markets94 cited
    • 2013Stock Repurchases and Liquidity87 cited
    • 2004Anonymity, Adverse Selection, and the Sorting of Interdealer Trades82 cited
    • 2014A reinforcement learning extension to the Almgren-Chriss framework for optimal trade execution77 cited
    • 2006Strong-Form Efficiency with Monopolistic Insiders73 cited
    • 2005Large Investors: Implications for Equilibrium Asset Returns, Shock Absorption, and Liquidity66 cited
    • 2001A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization62 cited
    • 2012Market Liquidity -- Theory and Empirical Evidence54 cited
    • 2002Strategic trading and learning about liquidity53 cited
    • 2010A Model of Portfolio Delegation and Strategic Trading47 cited