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This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric information and non-Markovian learning. Investors condition on information in both the current limit order book and also, unlike in previous re-search, on the prior order history when...
Persistent link: https://www.econbiz.de/10012853808
We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...
Persistent link: https://www.econbiz.de/10012707787
We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...
Persistent link: https://www.econbiz.de/10013150407
Persistent link: https://www.econbiz.de/10013064621
choices when determining their own. This effect is asymmetric and not present in bank capital choices. Importantly, I find …
Persistent link: https://www.econbiz.de/10013248835
I show that if dealers are averse to holding inventory, then prices, liquidity, and dealers' inventory positions depend on inventory costs in negotiated over-the-counter markets. The solution to my dynamic equilibrium model rationalizes the following stylized facts in the US corporate bond...
Persistent link: https://www.econbiz.de/10013024827
We augment a simple inventory model with new features of the post-crisis regulations to offer new predictions on the effects of post-crisis regulations on the over-the-counter markets. First, the increased capital requirements of Basel III lead to an overall increase in order rejection rates of...
Persistent link: https://www.econbiz.de/10012850380
OTC Markets Group organizes over 10,000 securities that trade over-the-counter into one of three tiered marketplaces (OTCQX, OTCQB, and OTC Pink) based on the quality and quantity of information a firm discloses. The tier designation and listing status of the securities in this study provide a...
Persistent link: https://www.econbiz.de/10012978808
, they come with costs. We provide a literature review of the costs associated with these central bank actions, without …-seeking and unproductive uses of the liquidity provided by the central bank. We discuss measures that may mitigate the negative …
Persistent link: https://www.econbiz.de/10014439058
Walter Bagehot is remembered today primarily as a proponent of the doctrine of lender of last resort, in which central banks pump money into the economy to ameliorate the damage from a financial crisis. But none of the growing number of publications about him appear to investigate in depth...
Persistent link: https://www.econbiz.de/10012863864