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pro vyhledávání: '"Zhang, Anthony Lee"'
We consider the market microstructure of automated market makers (AMMs) from the perspective of liquidity providers (LPs). Our central contribution is a ``Black-Scholes formula for AMMs''. We identify the main adverse selection cost incurred by LPs,
Externí odkaz:
http://arxiv.org/abs/2208.06046
Publikováno v:
In Journal of Financial Economics January 2024 151
Publikováno v:
In Journal of Financial Economics November 2023 150(2)
Akademický článek
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We show that dealer market power impedes the pass-through of monetary policy in repo markets, which is an important first stage of monetary policy transmission. In the European repo market, most participants do not have access to trade on centralized
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::9ef889930e77cdb1b8a2875ce15ccf1d
https://hdl.handle.net/10419/269113
https://hdl.handle.net/10419/269113
Publikováno v:
NBER Working Papers; Jul2022, Issue 30192-30292, Preceding p1-83, 84p
This paper uses new data to reexamine trends in concentration in U.S. markets from 1994 to 2019. The paper's main contribution is to construct concentration measures that reflect narrowly defined consumption-based product markets, as would be defined
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::da518a01d7fbab95c6e837b420ab2ddf
https://hdl.handle.net/10419/262710
https://hdl.handle.net/10419/262710
Publikováno v:
NBER Working Papers; Aug2021, Issue 29087-29202, p1-92, 92p