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Citations for "Market Manipulation, Bubbles, Corners, and Short Squeezes"

by Jarrow, Robert A.

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  1. Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 2001. "The Role of Large Players in Currency Crises," NBER Working Papers 8303, National Bureau of Economic Research, Inc.
  2. Yuri Biondi & Simone Righi, 2015. "Much ado about making money:The impact of disclosure, news and rumors over the formation of security market prices over time," Department of Economics 0075, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  3. Jiang, Guolin & Mahoney, Paul G. & Mei, Jianping, 2005. "Market manipulation: A comprehensive study of stock pools," Journal of Financial Economics, Elsevier, vol. 77(1), pages 147-170, July.
  4. RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, vol. 2(2), pages 115-141.
  5. Azad, A.S.M. Sohel & Azmat, Saad & Fang, Victor & Edirisuriya, Piyadasa, 2014. "Unchecked manipulations, price–volume relationship and market efficiency: Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 30(C), pages 51-71.
  6. Markus K Brunnermeier & Lasse Heje Pederson, 2003. "Predatory Trading," FMG Discussion Papers dp441, Financial Markets Group.
  7. Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
  8. Fabrice Rousseau;, 1999. "Bluffing: an equilibrium strategy," Economics, Finance and Accounting Department Working Paper Series n981099, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  9. Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang, 2016. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Papers 1610.01937, arXiv.org.
  10. Owen Lamont, 2004. "Go Down Fighting: Short Sellers vs. Firms," NBER Working Papers 10659, National Bureau of Economic Research, Inc.
  11. Andrew Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," Yale School of Management Working Papers ysm188, Yale School of Management, revised 01 Sep 2009.
  12. Allen, Franklin & Gorton, Gary, 1992. "Stock price manipulation, market microstructure and asymmetric information," European Economic Review, Elsevier, vol. 36(2-3), pages 624-630, April.
  13. Jinqiang Yang & Zhaojun Yang, 2012. "Arbitrage-free interval and dynamic hedging in an illiquid market," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1029-1039, May.
  14. Liu, Hong & Yong, Jiongmin, 2005. "Option pricing with an illiquid underlying asset market," Journal of Economic Dynamics and Control, Elsevier, vol. 29(12), pages 2125-2156, December.
  15. Hammad Siddiqi, 2007. "Stock Price Manipulation : The Role of Intermediaries," Finance Working Papers 22280, East Asian Bureau of Economic Research.
  16. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2004. "Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation," CoFE Discussion Paper 04-02, Center of Finance and Econometrics, University of Konstanz.
  17. Cumming, Douglas & Johan, Sofia & Li, Dan, 2011. "Exchange trading rules and stock market liquidity," Journal of Financial Economics, Elsevier, vol. 99(3), pages 651-671, March.
  18. Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 4-96, Wharton School Rodney L. White Center for Financial Research.
  19. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CIRJE F-Series CIRJE-F-963, CIRJE, Faculty of Economics, University of Tokyo.
  20. Muermann, Alexander & Shore, Stephen H., 2006. "Strategic trading and manipulation with spot market power," CFS Working Paper Series 2006/07, Center for Financial Studies (CFS).
  21. Khanna, Naveen & Mathews, Richmond D., 2012. "Doing battle with short sellers: The conflicted role of blockholders in bear raids," Journal of Financial Economics, Elsevier, vol. 106(2), pages 229-246.
  22. Medrano, Luis Angel & Vives, Xavier, 2001. "Strategic Behavior and Price Discovery," RAND Journal of Economics, The RAND Corporation, vol. 32(2), pages 221-248, Summer.
  23. Lin, William & Sun, David & Tsai, Shih-Chuan, 2010. "Does trading remove or bring frictions?," MPRA Paper 37285, University Library of Munich, Germany, revised Jan 2011.
  24. Cumming, D. & Johan, S.A., 2008. "Global market surveillance," Discussion Paper 2008-002, Tilburg University, Tilburg Law and Economic Center.
  25. Elettra Agliardi & Rainer Andergassen, 2007. "(S,S)-Adjustment Strategies And Dynamic Hedging," Working Paper Series 09_07, The Rimini Centre for Economic Analysis.
  26. Lien, Donald & Tse, Yiu Kuen, 2006. "A survey on physical delivery versus cash settlement in futures contracts," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 15-29.
  27. Elettra Agliardi & Rainer Andergassen, 2011. "(S,s)-adjustment Strategies and Hedging under Markovian Dynamics," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 36(2), pages 112-131, December.
  28. Jarrow, Robert & Protter, Philip, 2005. "Large traders, hidden arbitrage, and complete markets," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2803-2820, November.
  29. Basak, Suleyman & Pavlova, Anna, 2003. "Monopoly Power And The Firm'S Valuation: A Dynamic Analysis Of Short Versus Long-Term Policies," Working papers 4234-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  30. Frey, Rüdiger, 1996. "The Pricing and Hedging of Options in Finitely Elastic Markets," Discussion Paper Serie B 372, University of Bonn, Germany.
  31. Capuano, Christian, 2006. "Strategic noise traders and liquidity pressure with a physically deliverable futures contract," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 1-14.
  32. Lee, Eun Jung & Eom, Kyong Shik & Park, Kyung Suh, 2013. "Microstructure-based manipulation: Strategic behavior and performance of spoofing traders," Journal of Financial Markets, Elsevier, vol. 16(2), pages 227-252.
  33. Chakraborty, Archishman & Yilmaz, Bilge, 2004. "Informed manipulation," Journal of Economic Theory, Elsevier, vol. 114(1), pages 132-152, January.
  34. Sujit Chakravorti & Subir Lall, 2000. "The double play: simultaneous speculative attacks on currency and equity markets," Working Paper Series WP-00-17, Federal Reserve Bank of Chicago.
  35. Henry Schellhorn & Ran Zhao, 2016. "A String Model of Liquidity in Financial Markets," Papers 1608.05900, arXiv.org.
  36. Gill, Ryan & Lee, Kiseop & Song, Seongjoo, 2007. "Computation of estimates in segmented regression and a liquidity effect model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6459-6475, August.
  37. Earl A. Thompson & Charles R. Hickson, 2006. "Predicting bubbles," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 8(3/4), pages 217-246.
  38. Bank, Peter & Baum, Dietmar, 2002. "Hedging and portfolio optimization in illiquid financial markets," SFB 373 Discussion Papers 2002,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  39. Chakraborty, Archishman & Yilmaz, Bilge, 2004. "Manipulation in market order models," Journal of Financial Markets, Elsevier, vol. 7(2), pages 187-206, February.
  40. Cumming, Douglas & Dannhauser, Robert & Johan, Sofia, 2015. "Financial market misconduct and agency conflicts: A synthesis and future directions," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 150-168.
  41. Nyborg, Kjell G. & Strebulaev, Ilya A., 2001. "Collateral and short squeezing of liquidity in fixed rate tenders," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 769-792, November.
  42. Archishman Chakraborty & Bilge Yilmaz, "undated". "Nested Information and Manipulation in Financial Markets," Rodney L. White Center for Financial Research Working Papers 6-00, Wharton School Rodney L. White Center for Financial Research.
  43. Rydqvist, Kristian & Wu, Mark, 2016. "Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions," Journal of Financial Markets, Elsevier, vol. 30(C), pages 78-102.
  44. 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.
  45. Mahoney, Paul G., 1999. "The stock pools and the Securities Exchange Act," Journal of Financial Economics, Elsevier, vol. 51(3), pages 343-369, March.
  46. Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping, 2012. "Discrete time hedging with liquidity risk," Finance Research Letters, Elsevier, vol. 9(3), pages 135-143.
  47. 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.).
  48. Alexander Muermann & Stephen H. Shore, 2005. "Spot market power and future market trading," LSE Research Online Documents on Economics 24644, London School of Economics and Political Science, LSE Library.
  49. Robert Jarrow & Hao Li, 2014. "The impact of quantitative easing on the US term structure of interest rates," Review of Derivatives Research, Springer, vol. 17(3), pages 287-321, October.
  50. Kraft, Holger & Kühn, Christoph, 2011. "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1898-1915.
  51. Charles A. Holt & William M. Shobe, 2013. "Investigation of the Effects of Emission Market Design on the Market-Based Compliance Mechanism of the California Cap on Greenhouse Gas Emissions," Reports 2013-01, Center for Economic and Policy Studies.
  52. Sun, Xiao-Qian & Shen, Hua-Wei & Cheng, Xue-Qi & Zhang, Yuqing, 2017. "Detecting anomalous traders using multi-slice network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 1-9.
  53. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2015. "Exchange trading rules, surveillance and suspected insider trading," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 311-330.
  54. David German & Henry Schellhorn, 2012. "A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets," Papers 1206.4804, arXiv.org.
  55. Röthig, Andreas, 2004. "Currency Futures and Currency Crises," Darmstadt Discussion Papers in Economics 136, Darmstadt University of Technology, Department of Law and Economics.
  56. Earl A. Thompson & Jonathan Treussard & Charles R. Hickson, 2004. "Predicting Bubbles and Bubbles-Substitutes," UCLA Economics Working Papers 836, UCLA Department of Economics.
  57. M. Punniyamoorthy & Jose Joy Thoppan, 2012. "Detection of stock price manipulation using quadratic discriminant analysis," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 5(4), pages 369-388.
  58. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
  59. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2013. "Exchange trading rules, surveillance and insider trading," CFS Working Paper Series 2013/15, Center for Financial Studies (CFS).
  60. Dewa Gede Wirama & I Gusti Bagus Wiksuana & Zuraidah Mohd-Sanusi & Soheil Kazemian, 2017. "Price Manipulation by Dissemination of Rumors: Evidence from the Indonesian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 429-434.
  61. 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.
  62. William M. Shobe & Charles A. Holt & Thaddeus Huetteman, 2014. "Elements of emission market design: an experimental analysis of California's market for greenhouse gas allowances," Working Papers 2014-01, Center for Economic and Policy Studies.
  63. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2001. "High order compact finite difference schemes for a nonlinear Black-Scholes equation," CoFE Discussion Paper 01-07, Center of Finance and Econometrics, University of Konstanz.
  64. Philip Maymin, 2010. "The Hazards of Propping Up: Bubbles and Chaos," Papers 1002.2282, arXiv.org.
  65. 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.
  66. Charles A. Holt & William M. Shobe, 2013. "Banking and price containment in the California greenhouse gas emissions market: an experimental analysis of market design," Working Papers 2013-01, Center for Economic and Policy Studies.
  67. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 363-386, December.
  68. Atanasov, Vladimir & Davies, Ryan J. & Merrick, John J., 2015. "Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave?," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 210-234.
  69. 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.
  70. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CARF F-Series CARF-F-360, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2015.
  71. Peter Bank & Dietmar Baum, 2004. "Hedging and Portfolio Optimization in Financial Markets with a Large Trader," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 1-18.
  72. Yu Huang & Yao Cheng, 2015. "Stock manipulation and its effects: pump and dump versus stabilization," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 791-815, May.
  73. Clay M. Moffett, 2012. "The efficacy of Regulation SHO in resolving naked shorts," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(1), pages 72-98, February.
  74. Sun, Xiao-Qian & Cheng, Xue-Qi & Shen, Hua-Wei & Wang, Zhao-Yang, 2011. "Distinguishing manipulated stocks via trading network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3427-3434.
  75. Giambona, Erasmo & Golec, Joseph, 2010. "Strategic trading in the wrong direction by a large institutional insider," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 1-22, January.
  76. Xiao-Qian Sun & Xue-Qi Cheng & Hua-Wei Shen & Zhao-Yang Wang, 2011. "Distinguishing manipulated stocks via trading network analysis," Papers 1110.2260, arXiv.org.
  77. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
  78. Quinn, William, 2016. "Squeezing the bears: Cornering risk and limits on arbitrage during the 'British Bicycle Mania', 1896-1898," QUCEH Working Paper Series 2016-05, Queen's University Belfast, Queen's University Centre for Economic History.
  79. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
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