Songzi Du, Haoxiang Zhu Jul 06,2018
Working Paper No.00039-00
This paper studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve... Read More
Darrell Duffie , Haoxiang Zhu Jul 06,2018
Working Paper No.00040-00
Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to... Read More
Efstathios Avdis Mar 15,2017
Working Paper No.00013-00
In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where... Read More
Published: Journal of Financial Economics, 2016, 122(), 568-584Brett Green , William Fuchs , Vladimir Asriyan Jul 06,2018
Working Paper No.00033-00
We study information spillovers in a dynamic setting with correlated assets owned by privately informed sellers. In the model, a... Read More
Published: American Economic Review, 2017, (), -