Alexander Ober, Patrick Blonien Apr 09,2025
Working Paper No.00142-01
In a dynamic model of large traders who manage inventory risk, we show that a daily market closure coordinates liquidity.... Read More
James Dow , Jungsuk Han Francesco Sangiorgi Jun 24,2024
Working Paper No.00140-00
Will arbitrage capital flow into markets experiencing shocks, mitigating adverse effects on price efficiency? Not necessarily. In a dynamic model... Read More
Batchimeg Sambalaibat Jul 07,2021
Working Paper No.00072-00
I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that... Read More