Large Bets and Stock Market Crashes
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Cited by:
- Albert J. Menkveld & Bart Zhou Yueshen, 2019. "The Flash Crash: A Cautionary Tale About Highly Fragmented Markets," Management Science, INFORMS, vol. 65(10), pages 4470-4488, October.
- Jagannathan, Ravi & Pelizzon, Loriana & Schaumburg, Ernst & Sherman, Mila Getmansky & Yuferova, Darya, 2022.
"Recovery from fast crashes: Role of mutual funds,"
Journal of Financial Markets, Elsevier, vol. 59(PB).
- Jagannathan, Ravi & Pelizzon, Loriana & Schaumburg, Ernst & Getmansky Sherman, Mila & Yuferova, Darya, 2021. "Recovery from fast crashes: Role of mutual funds," SAFE Working Paper Series 227, Leibniz Institute for Financial Research SAFE, revised 2021.
- Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
- Hu, Conghui & Liu, Yu-Jane & Zhu, Ning, 2021. "Deleveraging commonality," Journal of Financial Markets, Elsevier, vol. 53(C).
- Albert S. Kyle & Anna A. Obizhaeva, 2020. "Adverse Selection and Liquidity: From Theory to Practice," Working Papers w0268, New Economic School (NES).
- Sida Li & Xin Wang & Mao Ye, 2019. "Who Provides Liquidity, and When?," NBER Working Papers 25972, National Bureau of Economic Research, Inc.
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More about this item
Keywords
finance; market microstructure; invariance; crashes; liquidity; price impact; market depth; systemic risk;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2017-02-05 (Market Microstructure)
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