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Massachusetts Institute of Technology (MIT) - Sloan School of Management
National Bureau of Economic Research (NBER)
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central clearing, netting efficiency, counterparty risk, over-the-counter derivatives
dark pools, price discovery, liquidity, fragmentation, equity market structure
dynamic term structure model, no-arbitrage, Gaussian, estimation
size discovery, allocative efficiency, workup, dark pool, market design
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trading frequency, welfare, high-frequency trading, dynamic trading, double auction
dark pool, pecking order, fragmentation
Benchmark, Search, Transparency, OTC markets, LIBOR
dynamic information asymmetry, financing, cash flow accumulation, issuance delay, optimal security
credit default swaps, credit event auctions, price bias, manipulation, allocative efficiency, double auction
trading frequency, allocative efficiency, high-frequency trading, double auction
Auction, Federal Reserve, Quantitative Easing, Treasury Bond
auction, quantitative easing, Federal Reserve, treasury bond, specialness
over-the-counter market, search, adverse selection, market breakdown, fragmentation, outside options, bargaining
commodity, collateral, financialization, theory of storage, capital control
bond risk premium, stochastic volatility, term structure models
Dollar Roll, TBA, MBS, Specialness, LSAP
order flow, information, order anticipation, price discovery, market liquidity, payment for order flow
gold lease rates, risk premia, term structure, unspanned risk
divisible double auctions, bilateral trading, bargaining, ex post equilibrium
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