Risk seekers: trade, noise, and the rationalizing effect of market impact on convex preferences

Efstathios Avdis   Oct 08,2020

Long-held intuition dictates that information-based trade is impossible without exogenous noise. Risk seekers can resolve this conundrum. Even though such... Read More

Pricing and Liquidity in Decentralized Asset Markets

Semih Uslu   Mar 27,20194

I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Unlike the existing work, my model allows for rich... Read More

Published: Econometrica, 2019, 87(6), 2079-2140

Commodity Financialization and Information Transmission

Itay Goldstein , Liyan Yang   Jul 06,2018

We study how commodity financialization affects information transmission and aggre- gation in a commodity futures market. The trading of... Read More