Anna A. Obizhaeva

New Economic School (NES)

100A Novaya ul

Moscow, Skolkovo 143026

Russia

SCHOLARLY PAPERS

22

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10,907

CITATIONS
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Top 5,559

in Total Papers Citations

92

Scholarly Papers (22)

1.
Downloads 2,451 ( 4,946)
Citation 69

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 1,653 (9,434)
Citation 69

Abstract:

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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 641 (38,563)
Citation 69

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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 157 (184,296)
Citation 69

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2.

Large Bets and Stock Market Crashes

Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 20 Apr 2019
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 1,033 (20,008)
Citation 1

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finance, market microstructure, invariance, crashes, liquidity, price impact, market depth, systemic risk

3.

Market Microstructure Invariance: Theory and Empirical Tests

Number of pages: 76 Posted: 08 Oct 2010 Last Revised: 06 Dec 2014
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 895 (24,799)

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Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance

Number of pages: 31 Posted: 28 May 2016 Last Revised: 17 Aug 2017
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 540 (48,397)

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market microstructure, liquidity, bid-ask spread, trade size, market depth, dimensional analysis, econophysics

Dimensional Analysis and Market Microstructure Invariance

Number of pages: 16 Posted: 19 Aug 2016
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 182 (161,812)

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Market microstructure, invariance, transaction costs, bid-ask spread

5.

Market Microstructure Invariants: Theory and Implications of Calibration

Number of pages: 36 Posted: 03 Jan 2012
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 607 (42,095)
Citation 4

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6.

Market Microstructure Invariance: Empirical Hypotheses

Number of pages: 67 Posted: 27 Jan 2016 Last Revised: 30 Oct 2016
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 590 (43,872)
Citation 1

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market microstructure, liquidity, bid-ask spread, market impact, transaction costs, order size, invariance, structural estimation

7.

Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

Number of pages: 50 Posted: 22 Nov 2015 Last Revised: 08 Aug 2018
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, University of Maryland and New Economic School (NES)
Downloads 581 (44,639)

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market microstructure, invariance, high-frequency trading, liquidity, volatility, volume, time series, intraday patterns

Market Microstructure Invariance: A Dynamic Equilibrium Model

Number of pages: 46 Posted: 19 Mar 2016 Last Revised: 17 Aug 2017
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 448 (61,340)

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market microstructure, invariance, liquidity, bid-ask spread, market impact, transaction costs, market efficiency, efficient markets hypothesis, pricing accuracy, resiliency, order size

Market Microstructure Invariance: A Dynamic Equilibrium Model

Number of pages: 46 Posted: 12 Feb 2019
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 66 (336,551)

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Market Microstructure, Invariance, Liquidity, Bid-Ask Spread, Market Impact, Transaction Costs, Market Efficiency, Efficient Markets Hypothesis, Pricing Accuracy, Resiliency, Order Size

9.

News Articles and the Invariance Hypothesis

AFA 2012 Chicago Meetings Paper, Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 41 Posted: 16 Mar 2011 Last Revised: 14 Jan 2012
University of Maryland, New Economic School (NES), Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 506 (53,232)
Citation 2

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10.

Liquidity Estimates and Selection Bias

Number of pages: 26 Posted: 29 Jul 2008 Last Revised: 17 Mar 2016
Anna A. Obizhaeva
New Economic School (NES)
Downloads 502 (53,743)
Citation 4

Abstract:

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market impact, spread, trading costs, selection bias

11.

Smooth Trading with Overconfidence and Market Power

Review of Economic Studies, Forthcoming
Number of pages: 94 Posted: 10 Apr 2014 Last Revised: 31 Aug 2017
Albert S. Kyle, Anna A. Obizhaeva and Yajun Wang
University of Maryland, New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 422 (66,595)
Citation 1

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market microstructure, price impact, liquidity, transaction costs, double auctions, information aggregation, rational expectations, agreement-to-disagree, imperfect competition, Keynesian beauty contest, overconfidence, strategic trading, dynamic trading, flash crash

12.

Information vs. Liquidity: Evidence from Portfolio Transition Trades

EFA 2007 Ljubljana Meetings Paper
Number of pages: 36 Posted: 27 Feb 2007 Last Revised: 27 Apr 2008
Anna A. Obizhaeva
New Economic School (NES)
Downloads 377 (76,050)
Citation 5

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institutional trading, price impact, information content

13.

Microstructure Invariance in U.S. Stock Market Trades

Number of pages: 60 Posted: 21 Mar 2010 Last Revised: 18 Aug 2017
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Federal Reserve Board
Downloads 317 (92,763)

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trading activity, trade size, trade frequency

14.

Market Microstructure Invariants: Empirical Evidence from Portfolio Transitions

Number of pages: 44 Posted: 03 Jan 2012
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 286 (103,696)
Citation 2

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asset pricing, market microstructure, portfolio transitions, order size, market impact, bid-ask spread, asset management, invariance

15.

The Market Impact Puzzle

Number of pages: 19 Posted: 27 Feb 2018
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 274 (108,581)

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Market microstructure, invariance, liquidity, square root model, market impact, transaction costs, dimensional analysis, leverage neutrality, volume, volatility

16.

Beliefs Aggregation and Return Predictability

Number of pages: 69 Posted: 06 Nov 2015 Last Revised: 03 Apr 2018
Albert S. Kyle, Anna A. Obizhaeva and Yajun Wang
University of Maryland, New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 226 (132,137)

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asset pricing, predictability, market microstructure, market efficiency, momentum, mean-reversion, anomalies, agreement to disagree

17.

Microstructure Invariance in U.S. Stock Market Trades

FEDS Working Paper No. 2016-034
Number of pages: 49 Posted: 04 May 2016
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Federal Reserve Board
Downloads 135 (208,164)

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market microstructure, transactions data, market frictions, trade size, tick size, order shredding, clustering, TAQ data

18.

Invariance of Buy-Sell Switching Points

Robert H. Smith School Research Paper No. RHS 2730770
Number of pages: 27 Posted: 11 Feb 2016 Last Revised: 30 Oct 2016
Kyoung-hun Bae, Albert S. Kyle, Eun Jung Lee and Anna A. Obizhaeva
Ulsan National Institute of Science and Technology, University of Maryland, Hanyang University and New Economic School (NES)
Downloads 113 (238,275)

Abstract:

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finance, market microstructure, invariance, trading volume, volatility, liquidity, price impact, market depth

19.

Анализ Событий на Российском Валютном Рынке 15-16 Декабря 2014 года (The Russian Ruble Crisis of December 2014)

Number of pages: 38 Posted: 17 Apr 2015 Last Revised: 17 Aug 2017
Anna A. Obizhaeva
New Economic School (NES)
Downloads 110 (242,817)

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Russian markets, currency, market crash

20.

Adverse Selection and Liquidity: From Theory to Practice

Number of pages: 45 Posted: 30 Aug 2018
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 104 (252,585)

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market microstructure, invariance, liquidity, adverse selection, market impact, bid-ask spread, bet size, market efficiency, dimensional analysis, leverage neutrality

21.

Trading in Crowded Markets

Number of pages: 53 Posted: 03 Apr 2018
Stepan Gorban, Anna A. Obizhaeva and Yajun Wang
New Economic School (NES), New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 104 (252,585)

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Asset Pricing, Market Liquidity, Market Microstructure, Crowding, Price Impact, Strategic Trading, Transaction Costs

22.

Portfolio Transitions and Stock Price Dynamics

Number of pages: 38 Posted: 17 Mar 2016
Anna A. Obizhaeva
New Economic School (NES)
Downloads 38 (422,854)
Citation 4

Abstract:

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institutional trading, price impact, trading costs.