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The Price of Immediacy · Study

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ArticleThe Price of Immediacy

George Chacko2007

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Articlegreen2007

The Price of Immediacy

George Chacko · Jakub W. Jurek · Erik Stafford

88 citations·0/0 files stored·The Journal of Finance

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Financial Markets and Investment Strategies Corporate Finance and Governance Stochastic processes and financial applications

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1971Optimum consumption and portfolio rules in a continuous-time model 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 2003Liquidity Risk and Expected Stock Returns 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1991Inferring Trade Direction from Intraday Data

Cited by

2008Hedging credit: Equity liquidity matters 2007Liquidity and Credit Default Swap Spreads 2010Locked Up by a Lockup: Valuing Liquidity as a Real Option 2013OR Forum—The Cost of Latency in High-Frequency Trading 2019Over-the-Counter versus Limit-Order Markets: The Role of Traders’ Expertise 2007The Marketing of Seasoned Equity Offerings

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2013Market Liquidity—Theory and Empirical Evidencechapter · 21 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 20 shared references 2012Theories of Liquidityarticle · 17 shared references 2006Liquidity and Asset Pricesarticle · 13 shared references 2008Liquidity and Market Crashesarticle · 13 shared references 2003Market Microstructurechapter · 13 shared references

Details

Year2007

Typearticle

Published2007-01-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations88

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1540-6261.2008.01357.x

openalex_workW2105539751

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2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

2012Modelling and forecasting liquidity supply using semiparametric factor dynamics