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Citations for "Optimal Dealer Pricing Under Transactions and Return Uncertainty"

by Thomas Ho & Hans Stoll

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 542-566, December. [Downloadable!] (restricted)
  2. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
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  3. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank. [Downloadable!]
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  4. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  5. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
  6. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer, vol. 17(2), pages 105-126, August. [Downloadable!] (restricted)
  8. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Stefano Benati & M. Tavernini, 1998. "A new lagrangean heuristic for the generalized assignment problem," Quaderni DISA 014, Department of Computer and Management Sciences, University of Trento, Italy.
  10. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. THEISSEN, Erik, 1999. "Floor versus Screen Trading : Evidence from the German Stock Market," Les Cahiers de Recherche 690, HEC Paris. [Downloadable!]
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  12. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November. [Downloadable!] (restricted)
  13. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
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  14. Yi-Tsung Lee & Yu-Jane Liu & Richard Roll & Avanidhar Subrahmanyam, 2001. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis," University of California at Los Angeles, Anderson Graduate School of Management 1021, Anderson Graduate School of Management, UCLA. [Downloadable!]
  15. Bjonnes,H. & Rime,D., 2000. "FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets," Memorandum 29/2000, Oslo University, Department of Economics. [Downloadable!]
  16. Karl Ludwig Keiber, 2005. "The Informational Content of Transactions," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 47-60, June. [Downloadable!] (restricted)
  17. John R. Ezzell & James A. Miles & J. Harold Mulherin, 2001. "Is there Really a When-Issued Premium?," Claremont Colleges Working Papers 2001-34, Claremont Colleges. [Downloadable!]
  18. Salomonsson, Marcus, 2009. "Introducing a spread into the Kyle model," Working Paper Series in Economics and Finance 713, Stockholm School of Economics. [Downloadable!]
  19. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
  20. Liang Ding, 2009. "Bid-ask spread and order size in the foreign exchange market: an empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 98-105. [Downloadable!]
  21. Harris, Jeffrey H. & Panchapagesan, Venkatesh & Werner, Ingrid, 2008. "Off but Not Gone: A Study of Nasdaq Delistings," Working Paper Series 2008-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  22. Christian At & Laurent Flochel & Patrick Roger, 2002. "Market-making, inventories and martingale pricing," Post-Print halshs-00178162_v1, HAL. [Downloadable!]
  23. Jordi Caballe, 1991. "Expectativas racionales, competencia perfecta y comportamiento estratégico en los mercados financieros," Investigaciones Economicas, Fundación SEPI, vol. 15(1), pages 3-34, January. [Downloadable!]
  24. Geir Høidal Bjønnes, Dagfinn Rime and Haakon O.Aa. Solheim, 2004. "Liquidity provision in the overnight foreign exchange market," Discussion Papers 391, Research Department of Statistics Norway. [Downloadable!]
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  25. Jan Krahnen & Martin Weber, 2001. "Marketmaking in the Laboratory: Does Competition Matter?," Experimental Economics, Springer, vol. 4(1), pages 55-85, June. [Downloadable!] (restricted)
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  26. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
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  27. Flynn, Sean M., 2005. "Noise-trader Risk: Does it Deter Arbitrage, and Is it Priced?," Vassar College Department of Economics Working Paper Series 69, Vassar College Department of Economics. [Downloadable!]
  28. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York. [Downloadable!]
  29. Gianni De Nicoló & Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers 09/52, International Monetary Fund. [Downloadable!]
  30. Bjonnes,H. & Rime,D., 2000. "Customer trading and information in foreign exchange markets," Memorandum 30/2000, Oslo University, Department of Economics. [Downloadable!]
  31. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
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  32. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2003. "Determinants of Daily Fluctuations in Liquidity and Trading Activity," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 728-751. [Downloadable!]
  33. Lescourret, Laurence & Robert, Christian Y., 2006. "Preferencing, internalization and inventory position," ESSEC Working Papers DR 06017, ESSEC Research Center, ESSEC Business School. [Downloadable!]
  34. Junjian Miao, . "A search model of centralized and decentralized trade," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-012, Boston University - Department of Economics, revised Oct 2005. [Downloadable!]
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  35. Décamps, Jean-Paul & Lovo, Stefano, 2003. "Risk Aversion and Herd Behavior in Financial Markets," IDEI Working Papers 246, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  36. Voetmann, Torben, 2001. "Changes in The Bid-Ask Components Around Earnings Announcements: Evidence from the Copenhagen Stock Exchange," Working Papers 2000-6, Copenhagen Business School, Department of Finance. [Downloadable!]
  37. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  38. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Quantitative Finance Papers cond-mat/0011295, arXiv.org. [Downloadable!]
  39. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Working Papers 07-27, Bank of Canada. [Downloadable!]
  40. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  41. Gianni De Nicolò & Iryna Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  42. Ingmar Nolte & Sandra Lechner, 2007. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," CoFE Discussion Paper 07-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  43. Sasha Stoikov & Mehmet Sağlam, 2009. "Option market making under inventory risk," Review of Derivatives Research, Springer, vol. 12(1), pages 55-79, April. [Downloadable!] (restricted)
  44. Victoria Saporta & Giorgio Trebeschi & Anne Vila, . "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England. [Downloadable!]
  45. LOVO, Stefano & DECAMPS, Jean-Paul, 2002. "Risk aversion and herd behavior in financial markets," Les Cahiers de Recherche 758, HEC Paris. [Downloadable!]
  46. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 04/6, International Monetary Fund. [Downloadable!]
  47. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Staff Reports 145, Federal Reserve Bank of New York. [Downloadable!]
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  48. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  49. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA. [Downloadable!]
  50. Törbjörn I. Becker & Amadou N. R. Sy, 2005. "Were Bid-Ask Spreads in the FX Market Excessive During the Asian Crisis?," IMF Working Papers 05/34, International Monetary Fund. [Downloadable!]
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  51. Narasimhan Jegadeesh & Sheridan Titman, 1990. "Short Horizon Reversals and the Bid-Ask Spread," University of California at Los Angeles, Anderson Graduate School of Management 1183, Anderson Graduate School of Management, UCLA. [Downloadable!]
  52. John Thornton, 1993. "The Determinants Of The Spread In The Black Market For Dollars In Costa Rica," International Economic Journal, Korean International Economic Association, vol. 7(4), pages 43-47, December. [Downloadable!] (restricted)
  53. Bryan R. Routledge & Stanley E. Zin, 2001. "Model Uncertainty and Liquidity," NBER Working Papers 8683, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  54. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  55. Pu Shen & Ross M. Starr, 2000. "Market makers' supply and pricing of financial market liquidity," Research Working Paper RWP 00-03, Federal Reserve Bank of Kansas City. [Downloadable!]
  56. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  57. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  58. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 01-10, Federal Reserve Bank of San Francisco. [Downloadable!]
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  59. Thomas Gehrig & Matthew Jackson, 1994. "Bid-Ask Spreads with Indirect Competition Among Specialists," Discussion Papers 1107, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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  60. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  61. Gerhard Kling, 2005. "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, Economics Bulletin, vol. 7(5), pages 1-11. [Downloadable!]
  62. Pu Shen & Ross Starr, 2000. "Market Makers' Supply and Pricing of Financial Market Liquidity," University of California at San Diego, Economics Working Paper Series 2000-28, Department of Economics, UC San Diego. [Downloadable!]
  63. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund. [Downloadable!]
  64. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
  65. Ron Kaniel & Hong Liu, . "Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?," Rodney L. White Center for Financial Research Working Papers 16-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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This page was last updated on 2009-12-16.

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