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

Efstathios Avdis   Dec 30,20190

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

Size Discovery

Darrell Duffie , Haoxiang Zhu   Jul 06,2018

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