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Liquidity in Competitive Dealer Markets
16 references·0 citing·45 second hop
Liquidity in Competitive Dealer Markets (2018)Liquidity in Competitive Dealer MarketsA Course on Rough Paths (2014)A Course on Rough PathsDynamic Trading with Predictable Returns and Transaction Costs (2013)Dynamic Trading with Predicta…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Demand-Based Option Pricing (2005)Demand-Based Option PricingLiquidity risk and arbitrage pricing theory (2004)Liquidity risk and arbitrage …Asset Prices and Trading Volume under Fixed Transactions Costs (2004)Asset Prices and Trading Volu…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …The Trades of Market Makers: An Empirical Analysis of NYSE Specialists (1993)The Trades of Market Makers: …Liquidity and Market Structure (1988)Liquidity and Market StructureContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The Limits of Arbitrage (1995)Credit Cycles (1997)Contagion as a Wealth Effect (2001)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)A Macroprudential Approach to Financial Regulation (2011)Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option pricing when underlying stock returns are discontinuous (1976)Market Liquidity and Funding Liquidity (2005)Liquidity and Asset Prices (2006)Intermediary asset pricing: New evidence from many asset classes (2017)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Stochastic Model for Order Book Dynamics (2010)The Price Impact of Order Book Events (2013)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)PORTFOLIO SELECTION* (1952)Asset pricing and the bid-ask spread (1986)Asset pricing with liquidity risk (2005)Trading Costs of Asset Pricing Anomalies (2012)Risk Everywhere: Modeling and Managing Volatility (2018)Fire‐Sale Spillovers and Systemic Risk (2021)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2005Demand-Based Option Pricing889 cited
  • 2013Dynamic Trading with Predictable Returns and Transaction Costs563 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2014A Course on Rough Paths428 cited
  • 1993The Trades of Market Makers: An Empirical Analysis of NYSE Specialists374 cited
  • 2004Asset Prices and Trading Volume under Fixed Transactions Costs346 cited
  • 2004Liquidity risk and arbitrage pricing theory285 cited
  • 2010Liquidity Risk and Arbitrage Pricing Theory

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