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Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market

55 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

Arkadev Chatterjea, Robert A. Jarrow, Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market, The Journal of Financial and Quantitative Analysis, Vol. 33, No. 2 (Jun., 1998), pp. 255-289

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References

1985Continuous Auctions and Insider Trading 1982A Theory of Auctions and Competitive Bidding 1986Auctions and Bidding 1987Price, trade size, and information in securities markets 1995Market microstructure theory 1989Auctions and Bidding: A Primer 1992Stock-Price Manipulation 1992Using Privileged Information to Manipulate Markets: Insiders, Gurus, and Credibility

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2004The Effect of Transaction Size on Off-the-Run Treasury Prices 2004A Model of the Convenience Yields in On-the-Run Treasuries 2001Collateral and short squeezing of liquidity in fixed rate tenders 2002Hedging gas bills with weather derivatives

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