Papers

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What is the Optimal Trading Frequency in Financial Markets?

Songzi Du, Haoxiang Zhu  

This paper studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve... Read More

Size Discovery

Darrell Duffie , Haoxiang Zhu  

Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to... Read More