Zobrazeno 1 - 10
of 42
pro vyhledávání: '"Duane J. Seppi"'
Publikováno v:
Finance and Stochastics. 27:305-340
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::10458982aaea7fded2801382f18735d4
https://doi.org/10.1007/s00780-023-00499-w
https://doi.org/10.1007/s00780-023-00499-w
Publikováno v:
Mathematics and Financial Economics. 15:315-352
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The intraday t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0885f6a805f1f3d77ce74cae76c44628
https://doi.org/10.1007/s11579-020-00278-7
https://doi.org/10.1007/s11579-020-00278-7
Autor:
Matthew Denes, Duane J. Seppi
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f4944b26a0e48f053b40892cf9d86f4
https://doi.org/10.2139/ssrn.4005677
https://doi.org/10.2139/ssrn.4005677
Publikováno v:
Journal of Financial Economics. 132:22-49
This paper describes equilibrium interactions between dynamic portfolio rebalancing given a private end-of-day trading target and dynamic trading on long-lived private information. Order-splitting for portfolio rebalancing injects multifaceted dynami
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::acbb7cfa4b5d89922d76a1568651d18a
https://doi.org/10.1016/j.jfineco.2018.11.003
https://doi.org/10.1016/j.jfineco.2018.11.003
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order flow over t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4f2daaf357229c88cd161e661038750d
http://arxiv.org/abs/2105.13401
http://arxiv.org/abs/2105.13401
Publikováno v:
SSRN Electronic Journal.
We determine optimal market access pricing for an exchange or Social Planner. Exchanges optimally use rebate-based pricing (vs. strictly positive fees) when ex ante gains-from-trade and trading activity are low (high). Exchange rebate-based pricing i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0f119d20e4de6b81ce836c4ac74e5b2
https://doi.org/10.2139/ssrn.3779195
https://doi.org/10.2139/ssrn.3779195
Publikováno v:
SSRN Electronic Journal.
We solve in closed-form a continuous-time Nash equilibrium model in which a finite number of exponential investors continuously consume and trade strategically with price-impact. Compared to the analogous Pareto-efficient equilibrium model, price-imp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dafd715100503b7a2ce2814bfb209159
https://doi.org/10.2139/ssrn.3465159
https://doi.org/10.2139/ssrn.3465159
Publikováno v:
SSRN Electronic Journal.
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The intraday t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::478df97f0f8026545e835e05d64cb644
https://doi.org/10.2139/ssrn.3146658
https://doi.org/10.2139/ssrn.3146658
Publikováno v:
Manufacturing & Service Operations Management. 17:302-320
Merchant operations involves valuing and hedging the cash flows of commodity- and energy-conversion assets as real options based on stochastic models that inevitably embed model error. In this paper we quantify how empirically calibrated model errors
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da36a028945fbb0953726ff099997d8a
https://doi.org/10.1287/msom.2015.0518
https://doi.org/10.1287/msom.2015.0518
Publikováno v:
SSRN Electronic Journal.
This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric information and non-Markovian learning. Investors condition on information in both the current limit order book and also, unlike in previous
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f25bfa9024eb22c8d32397337ad17c5
https://doi.org/10.2139/ssrn.3032074
https://doi.org/10.2139/ssrn.3032074