Strategic Trading in Multiple Assets and the Effects on Market Volatiliy
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References listed on IDEAS
- Holden, Craig W & Subrahmanyam, Avanidhar, 1992. "Long-Lived Private Information and Imperfect Competition," Journal of Finance, American Finance Association, vol. 47(1), pages 247-270, March.
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- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
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Cited by:
- Lasse Pedersen, 2009.
"When Everyone Runs for the Exit,"
International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
- Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
- Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers 7436, C.E.P.R. Discussion Papers.
- Vivien Lespagnol & Juliette Rouchier, 2014.
"Trading volume and market efficiency: an Agent Based Model with heterogenous knowledge about fundamentals,"
AMSE Working Papers
1419, Aix-Marseille School of Economics, France, revised May 2014.
- Vivien Lespagnol & Juliette Rouchier, 2014. "Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals," Working Papers halshs-00997573, HAL.
- Vivien Lespagnol & Juliette Rouchier, 2015. "What Is the Impact of Heterogeneous Knowledge About Fundamentals on Market Liquidity and Efficiency: An ABM Approach," Lecture Notes in Economics and Mathematical Systems, in: Frédéric Amblard & Francisco J. Miguel & Adrien Blanchet & Benoit Gaudou (ed.), Advances in Artificial Economics, edition 127, pages 105-117, Springer.
- Moritz Vo{ss}, 2019. "A two-player portfolio tracking game," Papers 1911.05122, arXiv.org, revised Jul 2022.
- 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.
- David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2009. "On the Scholes Liquidation Problem," NBER Working Papers 15381, National Bureau of Economic Research, Inc.
- Moritz Voß, 2022. "A two-player portfolio tracking game," Mathematics and Financial Economics, Springer, volume 16, number 6, June.
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More about this item
JEL classification:
- G0 - Financial Economics - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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