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Smooth Trading with Overconfidence and Market Power

Citations

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Cited by:

  1. Zheng, Zhiyong & Hunjra, Ahmed Imran & Alawi, Suha Mahmoud & Yang, Xiaodong, 2026. "The impact of leverage volatility on risk: A tug-of-war between amplification and attenuation effects," Research in International Business and Finance, Elsevier, vol. 87(C).
  2. Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
  3. Lou, Youcheng & Yang, Yaqing, 2023. "Information linkages in a financial market with imperfect competition," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
  4. Bustamante, Maria Cecilia & Cujean, Julien & Frésard, Laurent, 2019. "Knowledge Cycles and Corporate Investment," CEPR Discussion Papers 14152, Centre for Economic Policy Research.
  5. Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
  6. Rahi, Rohit, 2021. "Information acquisition with heterogeneous valuations," Journal of Economic Theory, Elsevier, vol. 191(C).
  7. 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.
  8. Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2023. "Beliefs Aggregation and Return Predictability," Journal of Finance, American Finance Association, vol. 78(1), pages 427-486, February.
  9. Hong Liu & Shuaijie Qian & Jing Xu, 2025. "Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework," Operations Research, INFORMS, vol. 73(6), pages 2933-2952, November.
  10. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
  11. Eric Budish & Robin S. Lee & John J. Shim, 2024. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Journal of Political Economy, University of Chicago Press, vol. 132(4), pages 1209-1246.
  12. Eric Budish & Peter Cramton & Albert S. Kyle & Jeongmin Lee & David Malec, 2022. "Flow Trading," ECONtribute Discussion Papers Series 146, University of Bonn and University of Cologne, Germany.
    • Eric Budish & Peter Cramton & Albert S. Kyle & Jeongmin Lee & David Malec, 2023. "Flow Trading," NBER Working Papers 31098, National Bureau of Economic Research, Inc.
  13. Stepan Gorban & Anna A. Obizhaeva & Yajun Wang, 2020. "Trading in Crowded Markets," Working Papers w0275, New Economic School (NES).
  14. Lou, Youcheng & Rahi, Rohit, 2023. "Information, market power and welfare," Journal of Economic Theory, Elsevier, vol. 214(C).
  15. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
  16. Franz Ostrizek & Elia Sartori, 2024. "The Noise is in The Mind: Existence of Trading Equilibria with Transparent Prices," CSEF Working Papers 730, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  17. Guo, Mng, 2023. "Dampening effect and market efficiency," Journal of Economic Dynamics and Control, Elsevier, vol. 148(C).
  18. Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, New Economic School (NES).
  19. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
  20. Sudhanshu Pani, 2020. "A Theory of 'Auction as a Search' in speculative markets," Papers 2006.00775, arXiv.org.
  21. 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.
  22. Frei, Christoph & Mitra, Joshua, 2021. "Optimal closing benchmarks," Finance Research Letters, Elsevier, vol. 40(C).
  23. 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.
  24. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
  25. Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024. "Importance of transaction costs for asset allocation in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 159(C).
  26. Baldauf, Markus & Frei, Christoph & Mollner, Joshua, 2024. "Block trade contracting," Journal of Financial Economics, Elsevier, vol. 160(C).
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