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Citations for "Predatory Trading"

by Markus K. Brunnermeier & Lasse Heje Pedersen

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  1. Warren Bailey & Lin Zheng, 2013. "Banks, Bears, and the Financial Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(1), pages 1-51, August.
  2. Shive, Sophie & Yun, Hayong, 2013. "Are mutual funds sitting ducks?," Journal of Financial Economics, Elsevier, vol. 107(1), pages 220-237.
  3. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  4. Alexander Schied & Tao Zhang, 2013. "A state-constrained differential game arising in optimal portfolio liquidation," Papers 1312.7360, arXiv.org, revised Jul 2015.
  5. Alex Edmans & Gustavo Manso, 2011. "Governance Through Trading and Intervention: A Theory of Multiple Blockholders," Review of Financial Studies, Society for Financial Studies, vol. 24(7), pages 2395-2428.
  6. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany.
  7. Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting, 2014. "Global contagion of market sentiment during the US subprime crisis," Global Finance Journal, Elsevier, vol. 25(1), pages 17-26.
  8. Bernardo, Antonio E. & Welch, Ivo, 2013. "Leverage and preemptive selling of financial institutions," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 123-151.
  9. Craig Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago.
  10. Katarzyna Bień-Barkowska, 2014. "“Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market," Bank i Kredyt, National Bank of Poland, Economic Institute, vol. 45(3), pages 197-224.
  11. Oh, Ji Yeol Jimmy, 2014. "Ambiguity aversion, funding liquidity, and liquidation dynamics," Journal of Financial Markets, Elsevier, vol. 18(C), pages 49-76.
  12. Baghestanian, S. & Lugovskyy, V. & Puzzello, D., 2015. "Traders’ heterogeneity and bubble-crash patterns in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 117(C), pages 82-101.
  13. Selcuk, Cemil, 2012. "Distressed sales and liquidity in OTC markets," MPRA Paper 38188, University Library of Munich, Germany.
  14. Kempf, Alexander & Mayston, Daniel, 2006. "Liquidity commonality beyond best prices," CFR Working Papers 06-04, University of Cologne, Centre for Financial Research (CFR).
  15. Hans F\"ollmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  16. Benjamin Blau, 2012. "Concentrated short-selling activity: bear raids or contrarian trading?," International Journal of Managerial Finance, Emerald Group Publishing, vol. 8(3), pages 187-203, August.
  17. Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008. "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers 13786, National Bureau of Economic Research, Inc.
  18. Cristina Cella & Andrew Ellul & Mariassunta Giannetti, 2013. "Investors' Horizons and the Amplification of Market Shocks," Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1607-1648.
  19. Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
  20. Peter Temin & Hans-Joachim Voth, 2004. "Riding the South See Bubble," Working Papers 213, Barcelona Graduate School of Economics.
  21. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
  22. Isaenko, Sergey, 2015. "Equilibrium theory of stock market crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 73-94.
  23. Nicolae Gârleanu & Lasse Heje Pedersen, 2013. "Dynamic Trading with Predictable Returns and Transaction Costs," Journal of Finance, American Finance Association, vol. 68(6), pages 2309-2340, December.
  24. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
  25. Hyun Song Shin, 2006. "Risk and liquidity in a system context," BIS Working Papers 212, Bank for International Settlements.
  26. Dong Boem Choi, 2013. "Heterogeneity and stability: bolster the strong, not the weak," Staff Reports 637, Federal Reserve Bank of New York.
  27. Chollete, Lorán, 2009. "The Propagation of Financial Extremes," Discussion Papers 2008/25, Department of Business and Management Science, Norwegian School of Economics.
  28. Salomonsson, Marcus, 2006. "Endogenous Noise Traders," SSE/EFI Working Paper Series in Economics and Finance 644, Stockholm School of Economics.
  29. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation for Research in Economics, Yale University.
  30. Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
  31. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011. "The price of liquidity: the effects of market conditions and bank characteristics," Working Paper Series 1376, European Central Bank.
  32. James R. Thompson, 2007. "Counterparty Risk in Insurance Contracts: Should the Insured Worry about the Insurer?," Working Papers 1136, Queen's University, Department of Economics.
  33. Viral V. Acharya & Denis Gromb & Tanju Yorulmazer, 2012. "Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(2), pages 184-217, April.
  34. Ernesto Pastén, 2011. "Time - Consistent Bailout Plans," Working Papers Central Bank of Chile 635, Central Bank of Chile.
  35. David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2010. "Optimal Portfolio Liquidation with Distress Risk," Management Science, INFORMS, vol. 56(11), pages 1997-2014, November.
  36. Takatoshi Ito & Masahiro Yamada, 2015. "Was the Forex Fixing Fixed?," NBER Working Papers 21518, National Bureau of Economic Research, Inc.
  37. Ricardo J. Caballero & Alp Simsek, 2009. "Fire Sales in a Model of Complexity," NBER Working Papers 15479, National Bureau of Economic Research, Inc.
  38. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
  39. Óscar Arce & Sergio Mayordomo, 2012. "Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban," Faculty Working Papers 25/12, School of Economics and Business Administration, University of Navarra.
  40. Bessembinder, Hendrik & Carrion, Allen & Tuttle, Laura & Venkataraman, Kumar, 2016. "Liquidity, resiliency and market quality around predictable trades: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 121(1), pages 142-166.
  41. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner & Ladley, Dan, 2012. "Costs and Benefits of Speculation," Discussion Papers 2012/12, Department of Business and Management Science, Norwegian School of Economics.
  42. Acharya, Viral & Song Shin, Hyun & Yorulmazer, Tanju, 2009. "Endogenous choice of bank liquidity: the role of fire sales," Bank of England working papers 376, Bank of England.
  43. Tambakis, D.N., 2008. "Feedback Trading and Intermittent Market Turbulence," Cambridge Working Papers in Economics 0847, Faculty of Economics, University of Cambridge.
  44. Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
  45. Ewerhart, C. & Valla, N., 2007. "Forced Portfolio Liquidation," Working papers 179, Banque de France.
  46. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
  47. Schied, Alexander & Schöneborn, Torsten, 2007. "Optimal Portfolio Liquidation for CARA Investors," MPRA Paper 5075, University Library of Munich, Germany.
  48. Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016. "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 551-561.
  49. Albert S. Kyle & S. Viswanathan, 2008. "How to Define Illegal Price Manipulation," American Economic Review, American Economic Association, vol. 98(2), pages 274-79, May.
  50. Charles Goodhart, 2010. "¿Cómo deberíamos regular el capital bancario y los productos financieros? ¿Cuál es el papel de los “testamentos en vida”?," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 12(23), pages 85-109, July-Dece.
  51. Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014. "An Agent-based Model for Financial Vulnerability," Working Papers 14-05, Office of Financial Research, US Department of the Treasury, revised Sep 2014.
  52. Aur\'elien Alfonsi & Antje Fruth & Alexander Schied, 2007. "Optimal execution strategies in limit order books with general shape functions," Papers 0708.1756, arXiv.org, revised Feb 2010.
  53. Kaj Nystr\"om & Mikko Parviainen, 2014. "Tug-of-war, market manipulation and option pricing," Papers 1410.1664, arXiv.org.
  54. Tepper, Alexander & Borowiecki, Karol Jan, 2014. "A leverage-based measure of financial instability," Staff Reports 688, Federal Reserve Bank of New York.
  55. Al-Suwailem, Sami, 2014. "Complexity and endogenous instability," Research in International Business and Finance, Elsevier, vol. 30(C), pages 393-410.
  56. Prasanna Gai, 2008. "Discussion of 'Promoting Liquidity: Why and How?'," RBA Annual Conference Volume, in: Paul Bloxham & Christopher Kent (ed.), Lessons from the Financial Turmoil of 2007 and 2008 Reserve Bank of Australia.
  57. Andreas Lehnert & Wayne Passmore & Shane M. Sherlund, 2006. "GSEs, mortgage rates, and secondary market activities," Finance and Economics Discussion Series 2006-30, Board of Governors of the Federal Reserve System (U.S.).
  58. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  59. Romans Pancs, 2014. "Workup," Review of Economic Design, Springer;Society for Economic Design, vol. 18(1), pages 37-71, March.
  60. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
  61. Bond, Philip & Leitner, Yaron, 2015. "Market run-ups, market freezes, inventories, and leverage," Journal of Financial Economics, Elsevier, vol. 115(1), pages 155-167.
  62. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports 328, Federal Reserve Bank of New York.
  63. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  64. Anis Omri & Mohamed Frikha, 2011. "No Contagion, Only Interdependence During the US Sub-Primes Crisis," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 286-298, December.
  65. Chester Spatt, 2014. "Security Market Manipulation," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 405-418, December.
  66. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
  67. Edmans, Alex & Holderness, Clifford, 2016. "Blockholders: A Survey of Theory and Evidence," CEPR Discussion Papers 11442, C.E.P.R. Discussion Papers.
  68. Ariane Szafarz, 2012. "Financial crises in efficient markets: How fundamentalists fuel volatility," ULB Institutional Repository 2013/149191, ULB -- Universite Libre de Bruxelles.
  69. Gomber, Peter & Gsell, Markus, 2009. "Algorithmic trading engines versus human traders: Do they behave different in securities markets?," CFS Working Paper Series 2009/10, Center for Financial Studies (CFS).
  70. Fecht, Falko & Nyborg, Kjell G & Rocholl, Jörg, 2010. "The Price of Liquidity: Bank Characteristics and Market Conditions," CEPR Discussion Papers 7794, C.E.P.R. Discussion Papers.
  71. Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
  72. Markus K. Brunnermeier & Martin Oehmke, 2013. "Predatory Short Selling," NBER Working Papers 19514, National Bureau of Economic Research, Inc.
  73. Amelia Pais & Philip A. Stork, 2013. "Short-Selling, Leverage and Systemic Risk," Tinbergen Institute Discussion Papers 13-186/IV/DSF68, Tinbergen Institute.
  74. Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2015. "Information and Trading Targets in a Dynamic Market Equilibrium," Papers 1502.02083, arXiv.org, revised Sep 2015.
  75. Lumengo Bonga-Bonga & Jamela Hoveni, 2013. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa in the 1995-2010 Period," South African Journal of Economics, Economic Society of South Africa, vol. 81(2), pages 260-274, 06.
  76. Oehmke, Martin, 2014. "Liquidating illiquid collateral," Journal of Economic Theory, Elsevier, vol. 149(C), pages 183-210.
  77. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
  78. Weiß, Gregor N.F. & Bostandzic, Denefa & Neumann, Sascha, 2014. "What factors drive systemic risk during international financial crises?," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 78-96.
  79. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers 758, Board of Governors of the Federal Reserve System (U.S.).
  80. Enrique Mart\'inez-Miranda & Peter McBurney & Matthew J. Howard, 2015. "Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective," Papers 1511.00740, arXiv.org.
  81. Branko Urosevic, 2001. "Moral hazard and dynamics of insider ownership stakes," Economics Working Papers 787, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004.
  82. Francis Longstaff, 2014. "Valuing Thinly-Traded Assets," NBER Working Papers 20589, National Bureau of Economic Research, Inc.
  83. Acharya, Viral V & Shin, Hyun Song & Yorulmazer, Tanju, 2007. "Fire Sales, Foreign Entry and Bank Liquidity," CEPR Discussion Papers 6309, C.E.P.R. Discussion Papers.
  84. Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
  85. Patton, Andrew J & Ramadorai, Tarun, 2011. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 8479, C.E.P.R. Discussion Papers.
  86. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
  87. Alexander Schied & Tao Zhang, 2013. "A market impact game under transient price impact," Papers 1305.4013, arXiv.org, revised Dec 2016.
  88. Ratnovski, Lev, 2009. "Bank liquidity regulation and the lender of last resort," Journal of Financial Intermediation, Elsevier, vol. 18(4), pages 541-558, October.
  89. Frédéric Malherbe, 2010. "Self-fulfilling liquidity dry-ups," Working Paper Research 185, National Bank of Belgium.
  90. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
  91. Mobarek, Asma & Mollah, Sabur & Keasey, Kevin, 2014. "A cross-country analysis of herd behavior in Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 107-127.
  92. Philip Bond & Yaron Leitner, 2012. "Market run-ups, market freezes, inventories, and leverage," Working Papers 12-8, Federal Reserve Bank of Philadelphia.
  93. Marsh, Ian W. & Payne, Richard, 2012. "Banning short sales and market quality: The UK’s experience," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1975-1986.
  94. Friederich, Sylvain & Payne, Richard, 2014. "Trading anonymity and order anticipation," Journal of Financial Markets, Elsevier, vol. 21(C), pages 1-24.
  95. Takatoshi Ito & Masahiro Yamada, 2016. "Puzzles in the Forex Tokyo “Fixing”: Order Imbalances and Biased Pricing by Banks," NBER Working Papers 22820, National Bureau of Economic Research, Inc.
  96. Selcuk, Cemil, 2013. "Motivated sellers and predation in the housing market," Economic Modelling, Elsevier, vol. 32(C), pages 203-214.
  97. Guo, Ming & Li, Zhan & Tu, Zhiyong, 2012. "A unique “T+1 trading rule” in China: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 575-583.
  98. C, Loran & Eckbo, Espen & Lu, Ching-Chih, 2014. "Does Executive Compensation Reflect Default Risk?," UiS Working Papers in Economics and Finance 2014/11, University of Stavanger.
  99. Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
  100. Joshua D. Coval & Erik Stafford, 2005. "Asset Fire Sales (and Purchases) in Equity Markets," NBER Working Papers 11357, National Bureau of Economic Research, Inc.
  101. Nikolaou, Kleopatra, 2009. "Liquidity (risk) concepts: definitions and interactions," Working Paper Series 1008, European Central Bank.
  102. Kharroubi, E. & Vidon E., 2008. "Liquidity, Moral Hazard and Inter-Bank Market Collapse," Working papers 227, Banque de France.
  103. Longstaff, Francis A., 2010. "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Elsevier, vol. 97(3), pages 436-450, September.
  104. Elias Strehle, 2016. "Are Order Anticipation Strategies Harmful? A Theoretical Approach," Papers 1609.00599, arXiv.org, revised Nov 2016.
  105. La׳O, Jennifer, 2014. "Predatory trading, Stigma and the Fed׳s Term Auction Facility," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 57-75.
  106. Breckenfelder, Johannes, 2013. "Competition between high-frequency traders, and market quality," MPRA Paper 66715, University Library of Munich, Germany, revised Dec 2013.
  107. Acharya, Viral V & Viswanathan, S. Vish, 2008. "Moral Hazard, Collateral and Liquidity," CEPR Discussion Papers 6630, C.E.P.R. Discussion Papers.
  108. Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised Nov 2016.
  109. Shino Takayama, 2013. "Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation," Discussion Papers Series 492, School of Economics, University of Queensland, Australia.
  110. Takatoshi Ito & Masahiro Yamada, 2016. "Puzzles in the Tokyo Fixing in the Forex Market: Order Imbalances and Bank Pricing," UTokyo Price Project Working Paper Series 069, University of Tokyo, Graduate School of Economics.
  111. Fernando Avalos & Ramon Moreno & Tania Romero, 2015. "Leverage on the buy side," BIS Working Papers 517, Bank for International Settlements.
  112. Philip Bond & Yaron Leitner, 2013. "Market run-ups, market freezes, inventories, and leverage," Working Papers 13-14, Federal Reserve Bank of Philadelphia, revised 04 Feb 2014.
  113. Takahashi, Hidetomo & Xu, Peng, 2016. "Trading activities of short-sellers around index deletions: Evidence from the Nikkei 225," Journal of Financial Markets, Elsevier, vol. 27(C), pages 132-146.
  114. Selcuk, Cemil, 2012. "Motivated Sellers & Predatory Buyers," MPRA Paper 36226, University Library of Munich, Germany.
  115. Salomonsson, Marcus, 2009. "Introducing a spread into the Kyle model," SSE/EFI Working Paper Series in Economics and Finance 713, Stockholm School of Economics.
  116. Ke Liu & Kin Lai & Jerome Yen & Qing Zhu, 2015. "A Model of Stock Manipulation Ramping Tricks," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 135-150, January.
  117. Benjamin Blau & Matthew Hill & Hao Wang, 2011. "REIT Short Sales and Return Predictability," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 481-503, May.
  118. Markus K. Brunnermeier, 2008. "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers 14612, National Bureau of Economic Research, Inc.
  119. Óscar Arce & Sergio Mayordomo, 2014. "Short-sale constraints and financial stability: Evidence from the Spanish market," Working Papers 1410, Banco de España;Working Papers Homepage.
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