Jiang Wang

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Mizuho Financial Group Professor

E62-614

100 Main Street

Cambridge, MA 02142

United States

China Academy of Financial Research (CAFR)

1954 Huashan Road

Shanghai P.R.China, 200030

China

SCHOLARLY PAPERS

31

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19,650

CITATIONS
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Top 365

in Total Papers Citations

1,184

Scholarly Papers (31)

1.
Downloads 2,303 ( 4,369)
Citation 67

Optimal Trading Strategy and Supply/Demand Dynamics

AFA 2006 Boston Meetings Paper
Number of pages: 42 Posted: 20 Mar 2005
Anna A. Obizhaeva and Jiang Wang
New Economic School (NES) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,559 (8,358)
Citation 67

Abstract:

price impact; limit order book; optimal execution

Optimal Trading Strategy and Supply/Demand Dynamics

EFA 2005 Moscow Meetings Paper
Number of pages: 42 Posted: 14 Feb 2005
Anna A. Obizhaeva and Jiang Wang
New Economic School (NES) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 598 (35,284)
Citation 67

Abstract:

Market impact, trading strategy, optimal execution, limit order market, liquidity modeling

Optimal Trading Strategy and Supply/Demand Dynamics

NBER Working Paper No. w11444
Number of pages: 43 Posted: 27 Jul 2005
Anna A. Obizhaeva and Jiang Wang
New Economic School (NES) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 146 (167,581)
Citation 67

Abstract:

Asset Prices and Trading Volume Under Fixed Transactions Costs

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-35
Number of pages: 78 Posted: 07 Jun 2001
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,770 (6,736)
Citation 66

Abstract:

Asset Pricing, Liquidity, Trading Volume, Transaction Costs

Asset Prices and Trading Volume Under Fixed Transactions Costs

NBER Working Paper No. w8311
Number of pages: 78 Posted: 03 Jun 2001
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 65 (292,797)
Citation 66

Abstract:

Asset Prices and Trading Volume Under Fixed Transactions Costs

Journal of Political Economy, Vol. 112, pp. 1054-1090, October 2004
Posted: 03 Sep 2004
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

3.
Downloads 1,743 ( 7,008)
Citation 64

The Price Impact and Survival of Irrational Traders

MIT Sloan Working Paper No. 4293-03, AFA 2004 San Diego Meetings, 14th Conference on Financial Economics & Acctg. (FEA), 5th Ann. Texas Finance Festival
Number of pages: 42 Posted: 20 Jan 2004
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 1,677 (7,452)
Citation 64

Abstract:

Irrational Traders, Price Impact, Price Influence, Survival, Irrationality, Long Run Prices

The Price Impact and Survival of Irrational Traders

NBER Working Paper No. w9434
Number of pages: 50 Posted: 10 Jan 2003
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 66 (290,288)
Citation 64

Abstract:

The Price Impact and Survival of Irrational Traders

Journal of Finance, February 2006
Posted: 12 Sep 2005
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington

Abstract:

Irrational Traders, Price Impact, Price Influence, Survival, Irrationality, Long Run Prices

4.

Stock Market Trading Volume

THE HANDBOOK OF FINANCIAL ECONOMETRICS, Y. A¨ıt-Sahalia and L. Hansen, eds., New York: North-Holland, 2009,
Number of pages: 110 Posted: 16 May 2009
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,649 (6,150)
Citation 5

Abstract:

Trading Volume, Asset Pricing, Portfolio Theory, Mean-Variance Optimization

5.

Liquidity of Corporate Bonds

Number of pages: 40 Posted: 25 Mar 2008 Last Revised: 11 Sep 2009
Jack Bao, Jun Pan and Jiang Wang
Board of Governors of the Federal Reserve System, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,360 (8,799)
Citation 56

Abstract:

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

MIT Sloan Working Paper No. 4217-01
Number of pages: 65 Posted: 06 Nov 2001
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,180 (13,110)
Citation 29

Abstract:

Trading Volume, Asset Pricing, Market Microstructure, Market Efficiency

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

NBER Working Paper No. w8565
Number of pages: 65 Posted: 25 Oct 2001
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 52 (327,842)
Citation 29

Abstract:

7.
Downloads 1,161 ( 13,724)
Citation 77

Dynamic Volume-Return Relation of Individual Stocks

Number of pages: 45 Posted: 25 Oct 2000
Universidad Autonoma de Madrid, [email protected] Tech, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 974 (17,581)
Citation 3

Abstract:

Dynamic Volume-Return Relation of Individual Stocks

NYU Working Paper No. FIN-00-032
Number of pages: 45 Posted: 04 Nov 2008
Universidad Autonoma de Madrid, [email protected] Tech, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 120 (196,125)
Citation 77

Abstract:

Dynamic Volume-Return Relation of Individual Stocks

NBER Working Paper No. w8312
Number of pages: 55 Posted: 03 Jun 2001
Universidad Autonoma de Madrid, [email protected] Tech, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 67 (287,893)
Citation 3

Abstract:

8.
Downloads 871 ( 21,187)
Citation 4

Market Selection

AFA 2009 San Francisco Meetings Paper
Number of pages: 54 Posted: 25 Mar 2008 Last Revised: 16 Nov 2016
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 743 (26,176)
Citation 4

Abstract:

Financial Markets, Heterogeneous Beliefs, Price Impact, Survival, General Equilibrium

Market Selection

NBER Working Paper No. w15189
Number of pages: 41 Posted: 04 Aug 2009
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 78 (263,532)
Citation 4

Abstract:

Market Selection

Journal of Economic Theory, Forthcoming
Number of pages: 54 Posted: 15 Nov 2016
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington
Downloads 50 (334,054)
Citation 4

Abstract:

Financial Markets, Heterogeneous Beliefs, Price Impact, Survival, General Equilibrium

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

NBER Working Paper No. w7613
Number of pages: 60 Posted: 16 May 2000
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 868 (20,913)
Citation 71

Abstract:

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Journal of Finance
Posted: 14 May 2000
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

10.
Downloads 782 ( 24,762)
Citation 24

Liquidity and Market Crashes

Number of pages: 43 Posted: 24 Aug 2006 Last Revised: 11 Sep 2009
Jennifer C. Huang and Jiang Wang
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 753 (25,703)
Citation 24

Abstract:

liquidity, asset prices, crash

Liquidity and Market Crashes

NBER Working Paper No. w14013
Number of pages: 44 Posted: 26 May 2008
Jennifer C. Huang and Jiang Wang
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 29 (412,527)
Citation 24

Abstract:

Liquidity and Market Crashes

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2407-2443, 2009
Posted: 22 Jun 2009
Jennifer C. Huang and Jiang Wang
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

D53, G12

11.
Downloads 612 ( 34,737)
Citation 23

Market Liquidity, Asset Prices, and Welfare

McCombs School of Business Research Paper No. FIN-05-08, AFA 2009 San Francisco Meetings Paper
Number of pages: 43 Posted: 25 Aug 2007 Last Revised: 11 Sep 2009
Jennifer C. Huang and Jiang Wang
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 522 (42,238)
Citation 23

Abstract:

liquidity, transaction costs, asset prices, welfare

Market Liquidity, Asset Prices, and Welfare

McCombs Research Paper Series No. FIN-05-08
Number of pages: 44 Posted: 08 May 2010 Last Revised: 11 May 2010
Jennifer C. Huang and Jiang Wang
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 74 (272,032)
Citation 23

Abstract:

liquidity, asset prices, welfare

Market Liquidity, Asset Prices and Welfare

NBER Working Paper No. w14058
Number of pages: 43 Posted: 09 Jun 2008
Jennifer C. Huang and Jiang Wang
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 16 (484,631)
Citation 23

Abstract:

12.
Downloads 479 ( 47,661)
Citation 8

Liquidity and Asset Prices: A Unified Framework

Number of pages: 91 Posted: 29 Jul 2009 Last Revised: 11 Mar 2010
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 449 (51,113)
Citation 8

Abstract:

liquidity, asset prices, market imperfections

Liquidity and Asset Prices: A Unified Framework

NBER Working Paper No. w15215
Number of pages: 47 Posted: 18 Aug 2009 Last Revised: 30 Jul 2010
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 27 (422,269)
Citation 8

Abstract:

Liquidity and Asset Prices: A Unified Framework

CEPR Discussion Paper No. DP7410
Number of pages: 48 Posted: 08 Sep 2009
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3 (556,433)
Citation 8
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Abstract:

Asset prices, Liquidity, Market imperfections

13.
Downloads 452 ( 51,246)
Citation 3

Evaluating Portfolio Policies: A Duality Approach

MIT Sloan Working Paper No. 4329-03
Number of pages: 26 Posted: 22 Jul 2003
Martin Haugh, Leonid Kogan and Jiang Wang
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 409 (57,354)
Citation 3

Abstract:

Portfolio Choice, Duality, Dynamic Programming, Constraints, Monte Carlo, Simulation

Evaluating Portfolio Policies: A Duality Approach

NBER Working Paper No. w9861
Number of pages: 26 Posted: 20 Jul 2003
Martin Haugh, Leonid Kogan and Jiang Wang
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 43 (356,673)
Citation 3

Abstract:

14.

Asset Pricing and the Credit Market

Number of pages: 37 Posted: 07 May 2008
Francis A. Longstaff and Jiang Wang
University of California, Los Angeles (UCLA) - Finance Area and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 383 (58,976)
Citation 8

Abstract:

Asset pricing, Credit market, Leverage

15.

Trading Volume and Serial Correlation in Stock Returns

NBER Working Paper No. w4193
Number of pages: 45 Posted: 30 Jan 2003
Harvard University - Department of Economics, University of Pennsylvania - Finance Department and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 305 (71,824)
Citation 248

Abstract:

16.
Downloads 291 ( 85,867)
Citation 24

Noise as Information for Illiquidity

Journal of Finance, Forthcoming
Number of pages: 70 Posted: 09 Oct 2010 Last Revised: 25 Sep 2012
Grace Xing Hu, Jun Pan and Jiang Wang
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 262 (95,824)
Citation 24

Abstract:

Noise as Information for Illiquidity

NBER Working Paper No. w16468
Number of pages: 33 Posted: 18 Oct 2010
Grace Xing Hu, Jun Pan and Jiang Wang
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 29 (412,527)
Citation 24

Abstract:

17.

Asset Pricing Under Heterogeneous Information

Number of pages: 59 Posted: 22 Mar 2010
Weiyang Qiu and Jiang Wang
MIT - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 280 (81,387)
Citation 4

Abstract:

18.

Firms as Buyers of Last Resort: Financing Constraints, Stock Returns and Liquidity

Number of pages: 44 Posted: 10 Oct 2005
Jiang Wang, Jialin Yu and Harrison G. Hong
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads 262 (92,959)
Citation 2

Abstract:

financing constraint, payout, asset price, mean reversion, volatility, skewness, liquidity

19.
Downloads 229 (110,735)

Tri-Party Repo Pricing

Number of pages: 60 Posted: 30 Nov 2014 Last Revised: 10 Aug 2015
Grace Xing Hu, Jun Pan and Jiang Wang
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 206 (122,597)

Abstract:

Tri-Party Repo, Pricing, Haircut, Money Market Funds

Tri-Party Repo Pricing

NBER Working Paper No. w21502
Number of pages: 61 Posted: 31 Aug 2015
Grace Xing Hu, Jun Pan and Jiang Wang
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 23 (444,237)
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Abstract:

20.

Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure

Second Annual Volatility Institute at NYU Shanghai (VINS) 2016
Number of pages: 48 Posted: 30 Nov 2013 Last Revised: 27 Feb 2017
Grace Xing Hu, Jun Pan and Jiang Wang
University of Hong Kong - School of Economics and Finance, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 218 (71,599)

Abstract:

Market Efficiency, Multi-tiered Information Release, High-frequency Trading

21.

The Chinese Government Bond Returns

Number of pages: 29 Posted: 13 Jun 2010
Jiang Wang, Zhishu Yang and Dongyan Ye
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Tsinghua University - School of Economics & Management and Cheung Kong Graduate School of Business
Downloads 155 (136,558)

Abstract:

Chinese Government Bond, common factors, momentum profit, market segmentation

22.

Trading and Information in Futures Markets

Number of pages: 54 Posted: 12 May 2015
Guillermo Llorente and Jiang Wang
Universidad Autonoma de Madrid and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 142 (116,790)
Citation 16

Abstract:

Commodity, futures markets, CTI, liquidity, and price discovery

23.

Dynamic Portfolio Execution

Management Science, Forthcoming
Number of pages: 44 Posted: 24 Jun 2012 Last Revised: 01 Jul 2017
Gerry Tsoukalas, Jiang Wang and Kay Giesecke
University of Pennsylvania - The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford University - Management Science & Engineering
Downloads 142 (26,799)
Citation 1

Abstract:

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

NBER Working Paper No. w7625
Number of pages: 56 Posted: 21 May 2000
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 140 (173,455)
Citation 155

Abstract:

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

Review of Financial Studies, Vol. 13, Iss. 2
Posted: 08 Dec 1999
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

Implementing Option Pricing Models When Asset Returns are Predictable

NBER Working Paper No. w4720
Number of pages: 55 Posted: 01 Sep 2000
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 116 (201,192)
Citation 37

Abstract:

Implementing Option Pricing Models When Asset Returns are Predictable

JOURNAL OF FINANCE, Vol 50, No 1, March 1995
Posted: 20 Dec 1998
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

Differential Information and Dynamic Behavior of Stock Trading Volume

NBER Working Paper No. w5010
Number of pages: 58 Posted: 07 Aug 2000
Hua He and Jiang Wang
Yale University - School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 73 (274,139)
Citation 127

Abstract:

Differential Information and Dynamic Behavior of Stock Trading Volume

REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 4
Posted: 13 Jul 1998
Hua He and Jiang Wang
Yale University - School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

27.

How to Tell If a Money Manager Knows More?

NBER Working Paper No. w9791
Number of pages: 50 Posted: 23 Jun 2003
Sergey Iskoz and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 51 (306,375)

Abstract:

28.

The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors

NBER Working Paper No. w5172
Number of pages: 42 Posted: 11 Jun 2000
Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 37 (334,729)
Citation 61

Abstract:

29.

Market Liquidity -- Theory and Empirical Evidence

NBER Working Paper No. w18251
Number of pages: 89 Posted: 28 Jul 2012
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 27 (331,705)
Citation 1

Abstract:

30.

The Market Impact of Options

Number of pages: 55 Posted: 14 Jul 2016 Last Revised: 03 May 2017
Feng Gao and Jiang Wang
Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (237,280)

Abstract:

31.

Theories of Liquidity

Foundations and Trends in Finance, Vol. 6, No. 4, 2011
Number of pages: 111 Posted: 23 May 2013
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (561,191)
Citation 3
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Abstract:

liquidity, market imperfections, asymmetric information, market microstructure