Author Page for Duane J. Seppi

Goteborg University, Faculty of Social Sciences, Department of Psychology, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - Department of Social and Decision Sciences

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Citation 114

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Cross-Sectional Stock Option Pricing and Factor Models of Returns

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper

Number of pages: 46 Posted: 23 Dec 2008 Last Revised: 04 Jan 2009

Mihaela Serban, John P. Lehoczky and Duane J. Seppi

Morgan Stanley, Carnegie Mellon University and Carnegie Mellon University - David A. Tepper School of Business

Downloads 759 (55,940)

Citation 9

Abstract:

4.

Demand Discovery and Asset Pricing

AFA 2005 Philadelphia Meetings

Number of pages: 63 Posted: 08 Jun 2004

Michael F. Gallmeyer, Duane J. Seppi and Burton Hollifield

University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

Downloads 731 (58,885)

Citation 15

Abstract:

5.

Rating-Based Investment Practices and Bond Market Segmentation

WFA 2012 Las Vegas Meetings Paper, Swiss Finance Institute Research Paper No. 10-30

Number of pages: 62 Posted: 16 Feb 2009 Last Revised: 27 Jun 2014

Zhihua Chen, Aziz A. Lookman, Aziz A. Lookman, Norman Schuerhoff and Duane J. Seppi

School of Finance, Shanghai University of Finance and Economics, Moody's Research LabsAmazon Capital Services, Swiss Finance Institute - HEC Lausanne and Carnegie Mellon University - David A. Tepper School of Business

Downloads 729 (59,086)

Citation 20

Abstract:

6.

Financial Attention

Number of pages: 51 Posted: 13 Oct 2013 Last Revised: 30 Jul 2015

Nachum Sicherman, George Loewenstein, Duane J. Seppi and Stephen P. Utkus

Columbia University, Carnegie Mellon University - Department of Social and Decision Sciences, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania

Downloads 546 (85,282)

Citation 105

Abstract:

7.

Non-Stationary vs. Stationary Equilibrium in Dynamic Limit Order Markets

Number of pages: 77 Posted: 07 Sep 2017 Last Revised: 12 May 2023

Roberto Riccò, Barbara Rindi and Duane J. Seppi

Norwegian School of Economics (NHH) - Department of Finance, Bocconi University, IGIER and Baffi Carefin and Carnegie Mellon University - David A. Tepper School of Business

Downloads 414 (118,869)

Citation 5

Abstract:

8.

Information and Trading Targets in a Dynamic Market Equilibrium

Number of pages: 75 Posted: 08 Feb 2015 Last Revised: 19 Apr 2018

Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi

Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business

Downloads 370 (135,041)

Citation 12

Abstract:

9.

Real Options and Merchant Operations of Energy and Other Commodities

Nicola Secomandi and Duane J. Seppi, "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends® in Technology, Information and Operations Management 6, no. 3-4 (2014)

Number of pages: 174 Posted: 10 Sep 2014 Last Revised: 14 Jan 2015

Nicola Secomandi and Duane J. Seppi

Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

Downloads 359 (139,692)

Citation 2

Abstract:

10.

Interim News and the Role of Proxy Voting Advice

Review of Financial Studies, Vol. 23, No. 12, 2010

Number of pages: 36 Posted: 27 Sep 2010 Last Revised: 30 Dec 2010

Cindy R. Alexander, Mark A. Chen, Duane J. Seppi and Chester S. Spatt

Securities and Exchange Commission (SEC), Georgia State University - Robinson College of Business, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

Downloads 276 (184,461)

Citation 10

Abstract:

11.

Equilibrium Effects of Intraday Order-Splitting Benchmarks

Number of pages: 57 Posted: 27 Mar 2018 Last Revised: 30 Mar 2020

Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi

Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business

Downloads 251 (202,791)

Citation 3

Abstract:

12.

Racial Dynamics in the U.S.: Evidence from the Stock Market

Number of pages: 75 Posted: 11 Jan 2022 Last Revised: 16 Jun 2023

Matthew Denes and Duane J. Seppi

Carnegie Mellon University - Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

Downloads 242 (210,077)

Citation 1

Abstract:

13.

Financial Attention

Number of pages: 50 Posted: 31 Jul 2012 Last Revised: 22 May 2015

Nachum Sicherman, George Loewenstein, Duane J. Seppi and Stephen P. Utkus

Columbia University, Carnegie Mellon University - Department of Social and Decision Sciences, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania

Downloads 225 (225,459)

Citation 7

Abstract:

14.

Using Price Information as an Instrument of Market Discipline in Regulating Bank Risk

Number of pages: 42 Posted: 27 Mar 2008

Duane J. Seppi, Alfred Lehar and Günter Strobl

Carnegie Mellon University - David A. Tepper School of Business, University of Calgary - Haskayne School of Business and University of Vienna - Department of Finance

Downloads 214 (236,346)

Citation 2

Abstract:

15.

Energy Real Options: Valuation and Operations

Managing Energy Price Risk, Chapter 13, 449-477, V. Kaminski (ed.), Risk Books, 4-th Edition, 2016.

Number of pages: 29 Posted: 01 Nov 2016

Nicola Secomandi and Duane J. Seppi

Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

Downloads 152 (318,968)

Citation 1

Abstract:

16.

Price impact in Nash equilibria

Number of pages: 52 Posted: 16 Oct 2019 Last Revised: 21 Feb 2023

Xiao Chen, Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi

Rutgers, The State University of New Jersey, Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business

Downloads 146 (329,483)

Citation 1

Abstract:

17.

The Role of Advisory Services in Proxy Voting

NBER Working Paper No. w15143

Number of pages: 54 Posted: 21 Jul 2009 Last Revised: 19 May 2023

Cindy R. Alexander, Mark A. Chen, Duane J. Seppi and Chester S. Spatt

Securities and Exchange Commission (SEC), Georgia State University - Robinson College of Business, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

Downloads 132 (356,496)

Abstract:

18.

Optimal Fee Pricing

Number of pages: 86 Posted: 18 Feb 2021 Last Revised: 13 Aug 2023

Roberto Riccò, Barbara Rindi and Duane J. Seppi

Norwegian School of Economics (NHH) - Department of Finance, Bocconi University, IGIER and Baffi Carefin and Carnegie Mellon University - David A. Tepper School of Business

Downloads 128 (364,825)

Citation 1

Abstract:

19.

Learning about Latent Dynamic Trading Demand

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC

Number of pages: 53 Posted: 28 May 2021 Last Revised: 18 Oct 2021

Xiao Chen, Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi

Rutgers, The State University of New Jersey, Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business

Downloads 75 (520,320)

Citation 2

Abstract:

20.

A Threshold Autoregressive Model for Wholesale Electricity Prices

Journal of the Royal Statistical Society (Series C, Applied Statistics), 54(3), 1-13 (2005)

Number of pages: 15 Posted: 25 Jul 2013

Ricky Rambharat, A. E. Brockwell and Duane J. Seppi

Office of the Comptroller of the Currency, Carnegie Mellon University - Department of Statistics and Carnegie Mellon University - David A. Tepper School of Business

Downloads 39 (702,683)

Abstract:

21.

Merchant Commodity Storage and Term-Structure Model Error

Manufacturing & Service Operations Management, 17(3), 302–320

Posted: 14 Sep 2012 Last Revised: 24 Aug 2015

Nicola Secomandi, Guoming Lai, Francois Margot, Alan Andrew Scheller-Wolf and Duane J. Seppi

Carnegie Mellon University - David A. Tepper School of Business, University of Texas at Austin - Red McCombs School of Business, Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University and Carnegie Mellon University - David A. Tepper School of Business

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22.

Information and Index Arbitrage

Posted: 27 Oct 1999

Duane J. Seppi and Praveen Kumar

Carnegie Mellon University - David A. Tepper School of Business and University of Houston - Department of Finance

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23.

Limit and Market Orders with Optimizing Traders

Posted: 20 Dec 1998

Duane J. Seppi and Praveen Kumar

Carnegie Mellon University - David A. Tepper School of Business and University of Houston - Department of Finance

Abstract:

24.

Liquidity-Based Competition for Order Flow

Posted: 22 Sep 1998

Duane J. Seppi and Christine A. Parlour

Carnegie Mellon University - David A. Tepper School of Business and University of California, Berkeley - Finance Group

Abstract:

25.

Liquidity Provision with Limit Orders and a Strategic Specialist

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2

Liquidity Provision with Limit Orders and a Strategic Specialist

REVIEW OF FINANCIAL STUDIES, Vol. 10 No. 1

Posted: 09 Apr 1997

Duane J. Seppi

Carnegie Mellon University - David A. Tepper School of Business

Abstract:

Liquidity Provision with Limit Orders and a Strategic Specialist

Posted: 03 Jul 1996

Duane J. Seppi

Carnegie Mellon University - David A. Tepper School of Business

Duane J. Seppi

Carnegie Mellon University - David A. Tepper School of Business

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Scholarly Papers (25)

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