1050 Massachusetts Avenue
Cambridge, MA 02138
100 Main Street
Cambridge, MA 02142
1954 Huashan Road
Shanghai P.R.China, 200030
Massachusetts Institute of Technology (MIT) - Sloan School of Management
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price impact; limit order book; optimal execution
Market impact, trading strategy, optimal execution, limit order market, liquidity modeling
Asset Pricing, Liquidity, Trading Volume, Transaction Costs
Irrational Traders, Price Impact, Price Influence, Survival, Irrationality, Long Run Prices
Trading Volume, Asset Pricing, Portfolio Theory, Mean-Variance Optimization
Trading Volume, Asset Pricing, Market Microstructure, Market Efficiency
Financial Markets, Heterogeneous Beliefs, Price Impact, Survival, General Equilibrium
liquidity, asset prices, crash
liquidity, transaction costs, asset prices, welfare
liquidity, asset prices, welfare
liquidity, asset prices, market imperfections
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7410.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Asset prices, Liquidity, Market imperfections
Portfolio Choice, Duality, Dynamic Programming, Constraints, Monte Carlo, Simulation
Asset pricing, Credit market, Leverage
financing constraint, payout, asset price, mean reversion, volatility, skewness, liquidity
Tri-Party Repo, Pricing, Haircut, Money Market Funds
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
Market Efficiency, Multi-tiered Information Release, High-frequency Trading
Chinese Government Bond, common factors, momentum profit, market segmentation
Commodity, futures markets, CTI, liquidity, and price discovery
This is a Now Publishers (01/14-3995) paper. Now Publishers (01/14-3995) charges $39.95 .
File name: SSRN-id2268580.
liquidity, market imperfections, asymmetric information, market microstructure
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