Anna A. Obizhaeva

New Economic School (NES)

100A Novaya ul

Moscow, Skolkovo 143026

Russia

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 3,868

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8,517

CITATIONS
Rank 5,744

SSRN RANKINGS

Top 5,744

in Total Papers Citations

89

Scholarly Papers (19)

1.
Downloads 2,317 ( 4,428)
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 1,566 (8,471)
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 603 (35,515)
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 148 (168,084)
Citation 67

Abstract:

2.

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 611 (22,684)

Abstract:

3.

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 484 (38,823)
Citation 4

Abstract:

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 317 (78,776)

Abstract:

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 108 (215,217)

Abstract:

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

5.

Large Bets and Stock Market Crashes

Number of pages: 43 Posted: 17 Mar 2012 Last Revised: 26 Feb 2016
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 422 (23,340)
Citation 1

Abstract:

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

6.

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 422 (48,963)
Citation 5

Abstract:

market impact, spread, trading costs, selection bias

7.

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 395 (52,590)
Citation 2

Abstract:

8.

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 327 (71,566)
Citation 5

Abstract:

institutional trading, price impact, information content

9.

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 216 (95,991)
Citation 2

Abstract:

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

10.

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 216 (98,639)

Abstract:

trading activity, trade size, trade frequency

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 University of Maryland - Robert H. Smith School of Business
Downloads 170 (71,566)

Abstract:

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.

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 19 (273,145)

Abstract:

Russian markets, currency, market crash

13.

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 0 (210,067)

Abstract:

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

14.

Market Microstructure Invariance: A Dynamic Equilibrium Model

Number of pages: 38 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 0 (120,348)

Abstract:

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

15.

Portfolio Transitions and Stock Price Dynamics

Number of pages: 38 Posted: 17 Mar 2016
Anna A. Obizhaeva
New Economic School (NES)
Downloads 0 (416,378)
Citation 3

Abstract:

institutional trading, price impact, trading costs.

16.

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 0 (253,209)

Abstract:

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

17.

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 0 (63,946)

Abstract:

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

18.

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

Number of pages: 46 Posted: 22 Nov 2015 Last Revised: 19 Mar 2016
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, University of Maryland and New Economic School (NES)
Downloads 0 (64,358)

Abstract:

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

19.

Beliefs Aggregation and Return Predictability

Number of pages: 69 Posted: 06 Nov 2015 Last Revised: 31 Aug 2017
Albert S. Kyle, Anna A. Obizhaeva and Yajun Wang
University of Maryland, New Economic School (NES) and University of Maryland - Robert H. Smith School of Business
Downloads 0 (198,224)

Abstract:

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