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  • Search: subject:"Large-trader"
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Year of publication
Subject
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Large trader 5 Theorie 5 Börsenkurs 4 Theory 4 large trader 4 Quantitative easing 3 Share price 3 Wertpapierhandel 3 Arbitrage-free models 2 Quantitative Lockerung 2 Quantity impact on price 2 Securities trading 2 Stochastischer Prozess 2 The term structure of interest rates 2 Yield curve 2 Zinsstruktur 2 ARMA model 1 ARMA-Modell 1 Backward induction 1 Black-Scholes model 1 Bond market 1 Broker‐dealers 1 Bubbles and Crashes 1 Börsenumsatz 1 Capital markets 1 Currency Attack 1 Dynamic game 1 Dynamic programming 1 Dynamische Optimierung 1 Dynamisches Spiel 1 EU countries 1 EU-Staaten 1 Equilibrium theory 1 Exchange rate 1 Exchange rate policy 1 Exemptions 1 Financial market 1 Financial reporting 1 Finanzmarkt 1 Game theory 1
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Online availability
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Undetermined 5 Free 3
Type of publication
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Article 8 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 2 technical-paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 8 Undetermined 3
Author
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Li, Hao 3 Blankenship, Michael J. 2 Esser, Angelika 2 Jarrow, Robert A. 2 Mönch, Burkart 2 Sacks, Russell D. 2 Challet, Damien 1 Frey, RØdiger 1 Jarrow, Robert 1 Li, Mei 1 Milne, Frank 1 Ohnishi, Masamitsu 1 Primicerio, Kevin 1 Shimoshimizu, Makoto 1
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Institution
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Department of Economics and Finance, College of Business and Economics 1
Published in...
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Journal of Investment Compliance 2 Finance and Stochastics 1 Market microstructure and liquidity 1 Quantitative finance 1 Review of Derivatives Research 1 Review of derivatives research 1 The quarterly journal of finance 1 Working Paper Series: Finance & Accounting 1 Working Papers / Department of Economics and Finance, College of Business and Economics 1 Working paper series / Johann Wolfgang Goethe-Universität Frankfurt, Fachbereich Wirtschaftswissenschaften 1
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Source
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ECONIS (ZBW) 5 RePEc 3 Other ZBW resources 2 EconStor 1
Showing 1 - 10 of 11
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Large Large-trader activity weakens the long memory of limit order markets
Primicerio, Kevin; Challet, Damien - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-12
Persistent link: https://www.econbiz.de/10012256411
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Optimal and equilibrium execution strategies with generalized price impact
Ohnishi, Masamitsu; Shimoshimizu, Makoto - In: Quantitative finance 20 (2020) 10, pp. 1625-1644
Persistent link: https://www.econbiz.de/10012295627
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A Large Trader in Bubbles and Crashes: an Application to Currency Attacks
Li, Mei; Milne, Frank - Department of Economics and Finance, College of … - 2010
small traders. We introduce a large trader into their model and apply it to currency attacks. In an attack against a fixed … find that the presence of a large trader with perfect information will accelerate the collapse of the regime and alleviate … currency overvaluation. However, if a large trader has incomplete information, the presence of a large trader may accelerate or …
Persistent link: https://www.econbiz.de/10008455883
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The impact of a Central Bank's Bond Market intervention on foreign exchange rates
Jarrow, Robert A.; Li, Hao - In: The quarterly journal of finance 5 (2015) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011301001
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The impact of quantitative easing on the US term structure of interest rates
Jarrow, Robert; Li, Hao - In: Review of Derivatives Research 17 (2014) 3, pp. 287-321
This paper estimates the impact of the Federal Reserve’s 2008–2011 quantitative easing (QE) program on the US term structure of interest rates. We estimate an arbitrage-free term structure model that explicitly includes the quantity impact of the Fed’s trades on Treasury market prices. As...
Persistent link: https://www.econbiz.de/10010989562
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The impact of quantitative easing on the US term structure of interest rates
Jarrow, Robert A.; Li, Hao - In: Review of derivatives research 17 (2014) 3, pp. 287-321
Persistent link: https://www.econbiz.de/10011293077
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Large trader reporting FAQs
Sacks, Russell D.; Blankenship, Michael J. - In: Journal of Investment Compliance 13 (2012) 1, pp. 23-29
trader reporting system. Design/methodology/approach – The paper explains the large trader rule and filing requirements …'s) definition of a “large trader”, a “NMS security”, and “person” for purposes of the rule; filing requirements; and the likely …Purpose – The purpose of this paper is to provide frequently asked questions and answers in connection with the large …
Persistent link: https://www.econbiz.de/10014893409
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Large trader reporting rule: a temporary reprieve for broker‐dealers and broadening of exemptions for capital markets transactions
Sacks, Russell D.; Blankenship, Michael J. - In: Journal of Investment Compliance 13 (2012) 4, pp. 4-8
Exchange Commission (SEC) to the large trader identification requirements under Rule 13h‐1. Design …/methodology/approach – Specifically, the paper provides: an explanation of the definition of a “large trader” as defined under Rule 13h‐1; an overview of … transactions in connection with determining whether a person is a large trader. Findings – The SEC extended the April 30, 2012 …
Persistent link: https://www.econbiz.de/10014893440
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Modeling feedback effects with stochastic liquidity
Esser, Angelika; Mönch, Burkart - 2003
We model the interactions between the trading activities of a large investor, the stock price and the market liquidity. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity factor. This innovation has two implications. First, we...
Persistent link: https://www.econbiz.de/10010263308
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Modeling feedback effects with stochastic liquidity
Esser, Angelika (contributor); Mönch, Burkart (contributor) - 2003
We model the interactions between the trading activities of a large investor, the stock price and the market liquidity. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity factor. This innovation has two implications. First, we...
Persistent link: https://www.econbiz.de/10002463391
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