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Displaying results 1 to 6 of 6.

  1. Chile
    Author: Avdis, Efstathios; Glebkin, Sergei
    Published: [2023]
    Publisher:  INSEAD, [Fontainebleau]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 2023, 71
    Subjects: Inefficient Markets; Information Aggregation; Rational Expectations with Non-CARAPreferences; Wealth Effects
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  2. Price formation in the foreign exchange market
    Author: Gallien, Florent; Glebkin, Sergei; Kassibrakis, Serge; Malamud, Semyon; Teguia, Alberto
    Published: [2023]
    Publisher:  INSEAD, [Fontainebleau]

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 2023, 63
    Subjects: Liquidity; Foreign Exchange; OTC Markets; Price Impact; Market Power
    Scope: 1 Online-Ressource (circa 109 Seiten)
  3. Strategic trading with wealth effects
    Author: Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto
    Published: [2023]
    Publisher:  INSEAD, [Fontainebleau]

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 2023, 65
    Subjects: Market Liquidity; Funding Liquidity; Price Impact; Strategic Trading; Wealth Effects
    Scope: 1 Online-Ressource (circa 84 Seiten), Illustrationen
  4. Asset prices and liquidity with market power and non-Gaussian payoffs
    Author: Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear... more

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 544
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    We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market power and non-Gaussian payoffs: (i) the equilibrium is nonlinear and the model can speak to key stylized facts regarding asymmetry and nonlinearity of price response to order imbalances, (ii) when risk aversion decreases, there are more liquidity providers and/or there is less uncertainty about future asset payoffs, liquidity can decrease, (iii) cross-section of returns is affected by endogenous illiquidity

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Research paper series / Swiss Finance Institute ; no 20, 80
    Swiss Finance Institute Research Paper ; No. 20-80
    Subjects: Price Impact; Higher Cumulants; Strategic Trading; Liquidity; CAPM
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  5. Price formation in the foreign exchange market
    Author: Gallien, Florent; Glebkin, Sergei; Kassibrakis, Serge; Malamud, Semyon; Teguia, Alberto
    Published: [2023]
    Publisher:  Swiss Finance Institute, Geneva

    Access:
    Resolving-System (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Rechte
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Swiss Finance Institute research paper series ; no 23, 68
    Subjects: Liquidity; Foreign Exchange; OTC Markets; Price Impact; Market Power
    Scope: 1 Online-Ressource (circa 111 Seiten)
  6. Strategic trading with wealth effects
    Author: Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto
    Published: [2023]
    Publisher:  Swiss Finance Institute, Geneva

    Access:
    Resolving-System (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Rechte
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Swiss Finance Institute research paper series ; no 23, 116
    Subjects: Market Liquidity; Funding Liquidity; Price Impact; Strategic Trading; Wealth Effects
    Scope: 1 Online-Ressource (circa 85 Seiten), Illustrationen