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Screening and Adverse Selection in Frictional Markets

Benjamin Lester,Ali Shourideh,Venky Venkateswaran, Ariel Zetlin-Jones   Jul 06,2018

We incorporate a search-theoretic model of imperfect competition into an otherwise standard model of asymmetric information with unrestricted contracts.... Read More

Screening and Adverse Selection in Frictional Markets

Benjamin Lester,Ali Shourideh,Venky Venkateswaran, Ariel Zetlin-Jones   Jul 06,2018

We incorporate a search-theoretic model of imperfect competition into an otherwise standard model of asymmetric information with unrestricted contracts.... Read More

What is the Optimal Trading Frequency in Financial Markets?

Songzi Du, Haoxiang Zhu   Jul 06,2018

This paper studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve... Read More

What is the Optimal Trading Frequency in Financial Markets?

Songzi Du, Haoxiang Zhu   Jul 06,2018

This paper studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve... Read More

Size Discovery

Darrell Duffie , Haoxiang Zhu   Jul 06,2018

Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to... Read More

Size Discovery

Darrell Duffie , Haoxiang Zhu   Jul 06,2018

Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to... Read More

Information Tradeoffs in Dynamic Financial Markets

Efstathios Avdis   Mar 15,201710

In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where... Read More

Published: Journal of Financial Economics, 2016, 122(), 568-584

Information Tradeoffs in Dynamic Financial Markets

Efstathios Avdis   Mar 15,201710

In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where... Read More

Published: Journal of Financial Economics, 2016, 122(), 568-584

Information Tradeoffs in Dynamic Financial Markets

Efstathios Avdis   Mar 15,201710

In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where... Read More

Published: Journal of Financial Economics, 2016, 122(), 568-584

Regulating a model (JFE, forthcoming)

Bilge Yilmaz,Bilge Yilmaz, Yaron Leitner   Nov 21,201710

We study a situation in which a regulator relies on risk models that banks produce in order to regulate them.... Read More

Published: Journal of Financial Economics, 2019, (), -