Anna A. Obizhaeva

New Economic School (NES)

100A Novaya ul

Moscow, Skolkovo 143026

Russia

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 3,264

SSRN RANKINGS

Top 3,264

in Total Papers Downloads

17,235

SSRN CITATIONS
Rank 2,067

SSRN RANKINGS

Top 2,067

in Total Papers Citations

268

CROSSREF CITATIONS

351

Scholarly Papers (23)

1.
Downloads 3,104 ( 6,095)
Citation 142

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 2,102 (11,068)
Citation 15

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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 743 (51,366)
Citation 13

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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 Last Revised: 10 Apr 2022
Anna A. Obizhaeva and Jiang Wang
New Economic School (NES) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 259 (177,918)
Citation 54

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Market Microstructure Invariance: A Dynamic Equilibrium Model

Number of pages: 56 Posted: 12 Feb 2019 Last Revised: 31 Mar 2020
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 1,077 (30,750)
Citation 4

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Finance, financial economics, financial markets, market microstructure, liquidity, invariance, market impact, transaction costs, market efficiency, efficient markets hypothesis

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 658 (60,296)
Citation 6

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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

3.

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 1,671 (16,236)
Citation 21

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

4.

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 1,194 (26,850)
Citation 24

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

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 894 (39,983)
Citation 9

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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 277 (166,175)
Citation 8

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

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 1,135 (29,050)
Citation 33

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

7.

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 993 (35,067)
Citation 6

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8.

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 878 (41,558)
Citation 3

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

9.

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 728 (53,534)
Citation 9

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10.

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 Board of Governors of the Federal Reserve System
Downloads 590 (70,265)
Citation 11

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11.

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 587 (70,732)
Citation 7

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market impact, spread, trading costs, selection bias

12.

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 521 (82,113)
Citation 22

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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

13.

Beliefs Aggregation and Return Predictability

Number of pages: 81 Posted: 06 Nov 2015 Last Revised: 30 Mar 2020
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 440 (100,520)
Citation 1

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

14.

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 425 (104,700)
Citation 9

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institutional trading, price impact, information content

15.

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 Board of Governors of the Federal Reserve System
Downloads 404 (111,056)
Citation 6

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trading activity, trade size, trade frequency

16.

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 344 (133,067)
Citation 2

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

17.

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 330 (139,133)
Citation 9

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

18.

Trading in Crowded Markets

Number of pages: 50 Posted: 03 Apr 2018 Last Revised: 18 Nov 2019
Anna A. Obizhaeva and Yajun Wang
New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 268 (172,785)

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

19.

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 199 (229,591)
Citation 6

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

20.

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 186 (243,874)
Citation 1

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Russian markets, currency, market crash

21.

Microstructure Invariance in U.S. Stock Market Trades

FEDS Working Paper No. 2016-34
Number of pages: 49 Posted: 04 May 2016 Last Revised: 21 Sep 2016
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Board of Governors of the Federal Reserve System
Downloads 174 (258,462)

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market microstructure, transactions data, market frictions, trade size, tick size, order shredding, clustering, Trades and Quotes (TAQ) data

22.

Market Microstructure Invariance: A Meta-Model Approach

Number of pages: 32 Posted: 17 Oct 2022
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 84 (439,927)

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

23.

Portfolio Transitions and Stock Price Dynamics

Number of pages: 38 Posted: 17 Mar 2016
Anna A. Obizhaeva
New Economic School (NES)
Downloads 74 (473,204)
Citation 9

Abstract:

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institutional trading, price impact, trading costs.