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Inside and Outside Liquidity (1)

Tano Santos (Columbia)

IDEI, May 14, 2008

A Simple Model of Liquidity Effects (1)

Chris Rogers (Cambridge University)

TSE, May 5, 2008

Simulating Correlated Defaults (1)

Darrell Duffie (Stanford University)

TSE, March 31, 2008

Asset Pricing in a Production Economy with Chew-Dekel Preferences (1)

Gian Luca Clementi (NYU)

IDEI, March 17, 2008

Does Algorithmic Trading Improve Liquidity? (1)

Albert J. Menkveld (Vrije UNiversiteit Amsterdam)

TSE, February 4, 2008

Does Algorithmic Trading Improve Liquidity? (1)

Albert J. Menkveld (Tinbergen Institute)

IDEI, February 4, 2008

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic as a proxy for algorithmic...

Inference from Streaks in Random Outcomes: Experimental Evidence on Beliefs in Regime-Shifting and the Law of Small Numbers (1)

Elena Asparouhova (University of Utah)

IDEI, January 28, 2008

Using data generated from laboratory experiments, we test and compare the empirical accuracy of two models that focus on judgment errors associated with processing information from random sequences. We test for regime-shifting beliefs of the type theorized in Barberis, Shleifer, and Vishny (1993) (...

Real option financing under asymmetric information (1)

Matthieu Bouvard (TSE)

TSE, January 21, 2008

Why has the financial sector grown so much? (1)

Thomas Philippon (NYU)

IDEI, December 18, 2007

Corporate Investment and Analyst Pressure (1)

Sébastien Michenaud (HEC)

IDEI, December 10, 2007

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