Risk seekers: trade, noise, and the rationalizing effect of market impact on convex preferences

Efstathios Avdis   Oct 08,2020

Working Paper No.00051-02

Long-held intuition dictates that information-based trade is impossible without exogenous noise. Risk seekers can resolve this conundrum. Even though such... Read More

Pricing and Liquidity in Decentralized Asset Markets

Semih Uslu   Mar 27,2019

Working Paper No.00050-00

I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Unlike the existing work, my model allows for rich... Read More

Published: Econometrica, 2019, 87(6), 2079-2140

Commodity Financialization and Information Transmission

Itay Goldstein , Liyan Yang   Jul 06,2018

Working Paper No.00035-00

We study how commodity financialization affects information transmission and aggre- gation in a commodity futures market. The trading of... Read More