Songzi Du, Haoxiang Zhu Jul 06,2018
Working Paper No.00039-00
This paper studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve... Read More
Darrell Duffie , Haoxiang Zhu Jul 06,2018
Working Paper No.00040-00
Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to... Read More