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A Search-Based Theory of the On-the-Run Phenomenon · Study

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PreprintA Search-Based Theory of the On-the-Run Phenomenon

Pierre-Olivier Weill2005

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Preprintgreen2005

A Search-Based Theory of the On-the-Run Phenomenon

Pierre-Olivier Weill · Dimitri Vayanos

69 citations·0/0 files stored·SSRN Electronic Journal

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

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References

2007Brownian Motion and Stochastic Calculus 1986Asset pricing and the bid-ask spread 1988A Theory of Intraday Patterns: Volume and Price Variability 1989Recursive Methods in Economic Dynamics 1982Aggregate Demand Management in Search Equilibrium 1981Point Processes and Queues 1989On Money as a Medium of Exchange 2004Over-the-Counter Markets

Cited by

2010New Monetarist Economics: Models 2016Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets 2010New Monetarist Economics 2014Decentralized Trading With Private Information 2012The Cost of Short‐Selling Liquid Securities 2014Trade Dynamics in the Market for Federal Funds 2012Theories of Liquidity

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2012Market Liquidity -- Theory and Empirical Evidencereport · 26 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 24 shared references 2012Theories of Liquidityarticle · 18 shared references 2006Search and endogenous concentration of liquidity in asset marketsarticle · 17 shared references 2008A Search‐Based Theory of the On‐the‐Run Phenomenonarticle · 16 shared references 2009Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assetsarticle · 15 shared references

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Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations69

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.669821

openalex_workW2058032269

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2009

Liquidity Premia in German Government Bonds