Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Lawrence R. Glosten"'
Publikováno v:
Management Science. 67:22-47
This paper investigates the effect of exchange-traded funds’ (ETFs’) activity on the short-run informational efficiency of their underlying securities. We find that ETF activity increases short-run informational efficiency for stocks with weak in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f4b7c6690c0f7bd15fe905362325e3c1
https://doi.org/10.1287/mnsc.2019.3427
https://doi.org/10.1287/mnsc.2019.3427
Publikováno v:
Columbia Business Law Review. 2021
Nearly a century after the United States enacted its first securities laws, urgent questions remain as to the scope of manipulation law: whether manipulation is possible in principle, and if so, how the law should respond in practice. Sharp disagreem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9025e91663d9a52addf2f19c5c15c121
https://doi.org/10.52214/cblr.v2021i3.9109
https://doi.org/10.52214/cblr.v2021i3.9109
Publikováno v:
Columbia Business Law Review. 2021
This Article evaluates the implications of distributed ledger technology (DLT) for the securities markets of the future and their regulation. DLT is an integral part of the larger revolution in computing, communication and data storage capacity that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::393d5997dedac7f4702c43f32eaf7c2a
https://doi.org/10.52214/cblr.v2021i2.8636
https://doi.org/10.52214/cblr.v2021i2.8636
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::928dfb04336886bf8fb769c1befbcf1a
https://doi.org/10.2139/ssrn.4230605
https://doi.org/10.2139/ssrn.4230605
Autor:
Lawrence R. Glosten
Publikováno v:
SSRN Electronic Journal.
The price of proprietary market data, data with low latency and with complete depth of book, sold by exchanges has risen dramatically in the previous decade. In fact, in October, 2018, the SEC failed to approve a requests by NASDAQ and NYSE-ARCA to r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a1a7ce9ae7fabb266a7d1d14565b0f7
https://doi.org/10.2139/ssrn.3533525
https://doi.org/10.2139/ssrn.3533525
Publikováno v:
Journal of Applied Corporate Finance. 29:30-44
The stock market has been transformed during the last 25 years. Human suppliers of liquidity like the NASDAQ dealers and NYSE specialists have been replaced by algorithmic market making; stocks that once traded on a single venue now trade across twel
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::53c28834ca03b10f503e7b5c928af4d8
https://doi.org/10.1111/jacf.12260
https://doi.org/10.1111/jacf.12260
Autor:
Shmuel Baruch, Lawrence R. Glosten
Perfect competition in liquidity provision in limit order markets is characterized by a tail expectation condition ( Glosten 1994 ). In this paper, we model imperfect competition in schedules by infinitely many liquidity suppliers, quoting on a limit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ed03b98923ad707ac456c5252e92fd75
https://hdl.handle.net/2108/313777
https://hdl.handle.net/2108/313777
Autor:
Lawrence R. Glosten, Shmuel Baruch
Publikováno v:
SSRN Electronic Journal.
In an environment with noise traders and informed traders trading on news, we model competition in schedules by liquidity suppliers quoting on a limit order book. We show that there is an equilibrium featuring quoters using mixed strategies; each quo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7f23f0220feb5b8a9f26b2ac5f83f058
https://doi.org/10.2139/ssrn.2770179
https://doi.org/10.2139/ssrn.2770179
Publikováno v:
SSRN Electronic Journal.
This paper investigates the effect of exchange-traded funds’ (ETF) trading activity on the informational efficiency of their underlying securities. We find that ETF trading increases informational efficiency for stocks with weak information environ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b23622bc06a959fc215cddbcb1384151
https://doi.org/10.2139/ssrn.2846157
https://doi.org/10.2139/ssrn.2846157
Autor:
Lawrence R. Glosten, Talis J. Putnins
Publikováno v:
SSRN Electronic Journal.
In order to address the issue of the welfare costs of informed trade, a new GlostenMilgrom type model is constructed with elastic uninformed trade. Since uninformed trade is elastic, there are some uninformed who choose not to trade because their idi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::861c807e0dca1d7a7d5f4b3912fb5676
https://doi.org/10.2139/ssrn.2827158
https://doi.org/10.2139/ssrn.2827158