Designing Stress Scenarios

Thomas Philippon, Cecilia Parlatore   Apr 26,2022

We develop a tractable framework to study the optimal design of stress scenarios. A principal wants to manage the unknown risk... Read More

Equilibrium Staking Levels in a Proof-of-Stake Blockchain

Kose John,Thomas Rivera, Fahad Saleh   May 24,2022

We study the equilibrium level of staking in a Proof-of-Stake blockchain when investors have different trading horizons. We find that,... Read More

Intermediation via Credit Chains

Jian Li. , Zhiguo He   Jun 03,2022

The modern financial system features complicated financial intermediation chains, with each layer performing a certain degree of credit/maturity transformation. We... Read More

Blockchain Adoption in a Supply Chain with Market Power

Garud Iyengar,Jay Sethuraman,Wenjun Wang, Fahad Saleh   Jun 30,2022

We examine a supply chain with a single risk-averse manufacturer who purchases from vendors and sells to consumers. Within this... Read More

The Need for Fees at a DEX: How Increases in Fees Can Increase DEX Trading Volume

Joel Hasbrouck,Thomas Rivera, Fahad Saleh   Aug 17,2022

We demonstrate that increasing trading fees at a decentralized exchange (DEX) can increase DEX trading volume. This result arises due... Read More

Algorithmic Pricing and Liquidity in Securities Markets

Thierry Foucault,Stefano Lovo, Jean-Edouard Colliard   Oct 27,2022

We let “Algorithmic Market-Makers” (AMMs), using Q-learning algorithms, choose prices for a risky asset when their clients are privately informed... Read More

Technological Progress and Rent Seeking

Guillermo Ordonez, Vincent Glode   Nov 01,2022

We model firms' allocation of resources between surplus-creating (a.k.a., productive) and surplus-appropriating (a.k.a., rent-seeking) activities. We show that industry-wide technological... Read More

A Model of Informed Intermediation in the Market for Going Public

Aydogan Alti, Jonathan Cohn   Nov 01,2022

We present a model in which informed experts intermediate in the market for going public by acquiring private firms and... Read More

Economic Implications of Scaling Blockchains

Kose John,Thomas Rivera, Fahad Saleh   Nov 01,2022

We compare the economic implications of scaling blockchains under the Proof-of-Work (PoW) and Proof-of-Stake (PoS) consensus protocols. We study an... Read More

Trust in Signals and the Origins of Disagreement

Alice Hsiaw, Ing-Haw Cheng   Nov 14,2022

Why do individuals interpret the same information differently? We propose that individuals follow Bayes' Rule when forming posteriors with one exception:... Read More