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Price Inference in Small Markets

Citations

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Cited by:

  1. Duffie, Darrell & Antill, Samuel, 2017. "Augmenting Markets with Mechanisms," Research Papers repec:ecl:stabus:3623, Stanford University, Graduate School of Business.
  2. Songzi Du & Haoxiang Zhu, 2014. "Welfare and Optimal Trading Frequency in Dynamic Double Auctions," NBER Working Papers 20588, National Bureau of Economic Research, Inc.
  3. Collin-Dufresne, Pierre & Daniel, Kent & Sağlam, Mehmet, 2020. "Liquidity regimes and optimal dynamic asset allocation," Journal of Financial Economics, Elsevier, vol. 136(2), pages 379-406.
  4. Alp E. Atakan & Mehmet Ekmekci, 2014. "Auctions, Actions, and the Failure of Information Aggregation," American Economic Review, American Economic Association, vol. 104(7), pages 2014-2048, July.
  5. Mariann Ollar & Marzena Rostek, 2011. "Information Aggregation and Innovation in Market Design," Working Papers 11-12, NET Institute.
  6. Kawakami, Kei, 2016. "Market size matters: A model of excess volatility in large markets," Journal of Financial Markets, Elsevier, vol. 28(C), pages 24-45.
  7. Ergun, Lerby & Uthemann, Andreas, 2020. "Higher-order uncertainty in financial markets: evidence from a consensus pricing service," LSE Research Online Documents on Economics 118893, London School of Economics and Political Science, LSE Library.
  8. Kerry Back & Pierre Collin‐Dufresne & Vyacheslav Fos & Tao Li & Alexander Ljungqvist, 2018. "Activism, Strategic Trading, and Liquidity," Econometrica, Econometric Society, vol. 86(4), pages 1431-1463, July.
  9. Manzano, Carolina & Vives, Xavier, 2021. "Market power and welfare in asymmetric divisible good auctions," Theoretical Economics, Econometric Society, vol. 16(3), July.
  10. Babus, Ana & Hachem, Kinda, 2023. "Markets for financial innovation," Journal of Economic Theory, Elsevier, vol. 208(C).
  11. Rahi, Rohit, 2019. "Information acquisition with heterogeneous valuations," LSE Research Online Documents on Economics 118929, London School of Economics and Political Science, LSE Library.
  12. Dirk Bergemann & Tibor Heumann & Stephen Morris, 2015. "Information and Market Power," Levine's Bibliography 786969000000001101, UCLA Department of Economics.
  13. Jason Allen & Milena Wittwer, 2023. "Intermediary Market Power and Capital Constraints," Staff Working Papers 23-51, Bank of Canada.
  14. Albert S Kyle & Anna A Obizhaeva & Yajun Wang, 2018. "Smooth Trading with Overconfidence and Market Power," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 611-662.
  15. Lou, Youcheng & Rahi, Rohit, 2021. "Information, market power and welfare," LSE Research Online Documents on Economics 118843, London School of Economics and Political Science, LSE Library.
  16. Darrell Duffie & Haoxiang Zhu, 2017. "Size Discovery," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1095-1150.
  17. Lou, Youcheng & Yang, Yaqing, 2023. "Information linkages in a financial market with imperfect competition," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
  18. Asriyan, Vladimir & Fuchs, William & Green, Brett, 2021. "Aggregation and design of information in asset markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 191(C).
  19. Rahi, Rohit, 2021. "Information acquisition with heterogeneous valuations," Journal of Economic Theory, Elsevier, vol. 191(C).
  20. Condie, Scott & Ganguli, Jayant, 2017. "The pricing effects of ambiguous private information," Journal of Economic Theory, Elsevier, vol. 172(C), pages 512-557.
  21. Du, Songzi & Zhu, Haoxiang, 2017. "Bilateral trading in divisible double auctions," Journal of Economic Theory, Elsevier, vol. 167(C), pages 285-311.
  22. Ji, Yucheng & Xu, Weijun & Zhao, Qi & Jia, Zecheng, 2023. "ESG disclosure and investor welfare under asymmetric information and imperfect competition," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  23. Yang Hao, 2023. "Financial Market with Learning from Price under Knightian Uncertainty," Working Papers hal-03686748, HAL.
  24. Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020. "Effective risk aversion in thin risk‐sharing markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
  25. Liu, Hong & Wang, Yajun, 2016. "Market making with asymmetric information and inventory risk," Journal of Economic Theory, Elsevier, vol. 163(C), pages 73-109.
  26. Youcheng Lou, 2023. "On the functional equivalence of two perfectly competitive economies with negative exponential utility and linear utility with a quadratic holding cost," Mathematics and Financial Economics, Springer, volume 17, number 4, December.
  27. Glebkin, Sergei & Kuong, John Chi-Fong, 2023. "When large traders create noise," Journal of Financial Economics, Elsevier, vol. 150(2).
  28. Kastl, Jakub, 2020. "Auctions in financial markets," International Journal of Industrial Organization, Elsevier, vol. 70(C).
  29. Pooya Molavi & Ceyhun Eksin & Alejandro Ribeiro & Ali Jadbabaie, 2016. "Learning to Coordinate in Social Networks," Operations Research, INFORMS, vol. 64(3), pages 605-621, June.
  30. Anderson, Edward & Holmberg, Pär, 2018. "Price instability in multi-unit auctions," Journal of Economic Theory, Elsevier, vol. 175(C), pages 318-341.
  31. Rahi, Rohit & Zigrand, Jean-Pierre, 2018. "Information acquisition, price informativeness, and welfare," Journal of Economic Theory, Elsevier, vol. 177(C), pages 558-593.
  32. Chahrour, Ryan & Gaballo, Gaetano, 2017. "Learning from prices: amplication and business fluctuations," Working Paper Series 2053, European Central Bank.
  33. Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Smooth Trading with Overconfidence and Market Power," Working Papers w0226, New Economic School (NES).
  34. Pär Holmberg & Frank Wolak, 2015. "Electricity markets: Designing auctions where suppliers have uncertain costs," Working Papers EPRG 1523, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
  35. Wittwer, Milena, 2017. "Centralizing Disconnected Markets? An Irrelevance Result," MPRA Paper 76534, University Library of Munich, Germany.
  36. Ryan Chahrour & Gaetano Gaballo, 2021. "Learning from House Prices: Amplification and Business Fluctuations [House Price Booms and the Current Account]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(4), pages 1720-1759.
  37. Marek Weretka & Daniel Quint, 2022. "Slope-takers in anonymous markets," GRAPE Working Papers 64, GRAPE Group for Research in Applied Economics.
  38. Braz Camargo & Kyungmin Kim & Benjamin Lester, 2016. "Information Spillovers, Gains from Trade, and Interventions in Frozen Markets," The Review of Financial Studies, Society for Financial Studies, vol. 29(5), pages 1291-1329.
  39. Daniel Neuhann & Michael Sockin, 2019. "Risk-Sharing and Investment in Concentrated Markets," 2019 Meeting Papers 118, Society for Economic Dynamics.
  40. Nicolas S. Lambert & Michael Ostrovsky & Mikhail Panov, 2018. "Strategic Trading in Informationally Complex Environments," Econometrica, Econometric Society, vol. 86(4), pages 1119-1157, July.
  41. Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
  42. Zhou, Hang, 2022. "Informed speculation with k-level reasoning," Journal of Economic Theory, Elsevier, vol. 200(C).
  43. Sadzik, Tomasz & Woolnough, Chris, 2021. "Snowballing private information," Journal of Economic Theory, Elsevier, vol. 198(C).
  44. Lou, Youcheng & Parsa, Sahar & Ray, Debraj & Li, Duan & Wang, Shouyang, 2019. "Information aggregation in a financial market with general signal structure," Journal of Economic Theory, Elsevier, vol. 183(C), pages 594-624.
  45. Lou, Youcheng & Rahi, Rohit, 2023. "Information, market power and welfare," Journal of Economic Theory, Elsevier, vol. 214(C).
  46. Michail Anthropelos & Scott Robertson, 2024. "Strategic Informed Trading and the Value of Private Information," Papers 2404.08757, arXiv.org.
  47. Michail Anthropelos & Constantinos Kardaras, 2018. "Price Impact Under Heterogeneous Beliefs and Restricted Participation," Papers 1802.09954, arXiv.org, revised Dec 2023.
  48. Rostek, Marzena & Weretka, Marek, 2015. "Information and strategic behavior," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 536-557.
  49. Lou, Youcheng & Rahi, Rohit, 2023. "Information, market power and welfare," LSE Research Online Documents on Economics 120479, London School of Economics and Political Science, LSE Library.
  50. Heumann, Tibor, 2021. "Efficiency in trading markets with multi-dimensional signals," Journal of Economic Theory, Elsevier, vol. 191(C).
  51. Daniel Chen & Darrell Duffie, 2020. "Market Fragmentation," NBER Working Papers 26828, National Bureau of Economic Research, Inc.
  52. Rahi, Rohit & Zigrand, Jean-Pierre, 2018. "Information acquisition, price informativeness and welfare," LSE Research Online Documents on Economics 118935, London School of Economics and Political Science, LSE Library.
  53. Wittwer, Milena, 2020. "Interconnected pay-as-bid auctions," Games and Economic Behavior, Elsevier, vol. 121(C), pages 506-530.
  54. Samuel Antill & Darrell Duffie, 2021. "Augmenting Markets with Mechanisms [Optimal Execution of Portfolio Transactions]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(4), pages 1665-1719.
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