Semyon Malamud

Ecole Polytechnique Federale de Lausanne

Lausanne, 1015

Switzerland

Centre for Economic Policy Research (CEPR)

London

United Kingdom

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • Ecole Polytechnique Federale de Lausanne

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

68

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55,024

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481

Scholarly Papers (68)

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1.

The Virtue of Complexity in Return Prediction

Downloads 9,136 ( 1,331)
Citation 56

The Virtue of Complexity in Return Prediction

Swiss Finance Institute Research Paper No. 21-90, Journal of Finance, forthcoming
Number of pages: 141 Posted: 15 Dec 2021 Last Revised: 20 Oct 2023
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 9,052 (1,336)
Citation 50

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

The Virtue of Complexity in Return Prediction

NBER Working Paper No. w30217
Number of pages: 116 Posted: 08 Jul 2022 Last Revised: 26 Jul 2023
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 80 (611,799)
Citation 4

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The Virtue of Complexity in Return Prediction

CEPR Discussion Paper No. DP17194
Number of pages: 103 Posted: 27 May 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 4 (1,246,268)
Citation 2
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benign overfit, Machine Learning, overparameterization, Portfolio choice, random matrix theory

2.

Machine Learning and the Implementable Efficient Frontier

Swiss Finance Institute Research Paper No. 22-63
Number of pages: 88 Posted: 18 Aug 2022 Last Revised: 24 Jul 2024
Theis Ingerslev Jensen, Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale University, Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 7,096 (2,038)
Citation 11

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asset pricing, machine learning, transaction costs, economic significance, investments

3.

Principal Portfolios

Downloads 5,530 ( 3,109)
Citation 1

Principal Portfolios

Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98 Posted: 06 Aug 2020 Last Revised: 26 May 2021
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 5,386 (3,220)
Citation 1

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Portfolio choice, asset pricing tests, optimization, expected returns, predictability

Principal Portfolios

NBER Working Paper No. w27388
Number of pages: 72 Posted: 22 Jun 2020 Last Revised: 03 May 2023
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 144 (399,914)

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4.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Martin Dudler, Bruno Gmuer and Semyon Malamud
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 3,471 (6,838)
Citation 5

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momentum, risk, return, volatility, trend following

5.

APT or “AIPT”? The Surprising Dominance of Large Factor Models 

Downloads 3,416 ( 7,013)
Citation 2

APT or “AIPT”? The Surprising Dominance of Large Factor Models 

Swiss Finance Institute Research Paper No. 23-19
Number of pages: 146 Posted: 14 Mar 2023 Last Revised: 13 Sep 2024
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
The University of Melbourne, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 3,404 (6,920)

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Machine learning, Asset pricing, Factor model, Stochastic discount factor (SDF), Pricing error, Cross section of returns, Portfolio choice

Complexity in Factor Pricing Models

NBER Working Paper No. w31689
Number of pages: 138 Posted: 18 Sep 2023
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
The University of Melbourne, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 12 (1,144,108)
Citation 2
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6.

The Virtue of Complexity Everywhere

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Citation 2

The Virtue of Complexity Everywhere

Number of pages: 43 Posted: 25 Jul 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 2,532 (11,031)
Citation 1

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

The Virtue of Complexity Everywhere

Swiss Finance Institute Research Paper No. 22-57
Number of pages: 45 Posted: 25 Jul 2022 Last Revised: 02 Aug 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 495 (113,594)
Citation 1

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

7.

Deep Learning from Implied Volatility Surfaces

Swiss Finance Institute Research Paper No. 23-60
Number of pages: 92 Posted: 04 Aug 2023 Last Revised: 28 Aug 2023
Bryan T. Kelly, Boris Kuznetsov, Semyon Malamud and Teng Andrea Xu
Yale SOM, Swiss Finance Institute, Ecole Polytechnique Federale de Lausanne and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 2,816 (9,444)
Citation 1

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8.

Universal Portfolio Shrinkage

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Universal Portfolio Shrinkage

Swiss Finance Institute Research Paper No. 23-119
Number of pages: 77 Posted: 11 Dec 2023
Bryan T. Kelly, Semyon Malamud, Mohammad Pourmohammadi and Fabio Trojani
Yale SOM, Ecole Polytechnique Federale de Lausanne, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva
Downloads 1,353 (29,311)

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Universal Portfolio Shrinkage

NBER Working Paper No. w32004
Number of pages: 57 Posted: 29 Jan 2024
Bryan T. Kelly, Semyon Malamud, Mohammad Pourmohammadi and Fabio Trojani
Yale SOM, Ecole Polytechnique Federale de Lausanne, University of Geneva and University of Geneva
Downloads 15 (1,106,736)
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9.

Capital Supply Uncertainty, Cash Holdings, and Investment

Swiss Finance Institute Research Paper No. 11-44
Number of pages: 84 Posted: 15 Aug 2010 Last Revised: 07 May 2014
Julien Hugonnier, Semyon Malamud and Erwan Morellec
Centre for Economic Policy Research (CEPR), Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,203 (35,272)
Citation 41

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Capital supply uncertainty, cash management, lumpy investment, inventory models

10.

Deep Regression Ensembles

Swiss Finance Institute Research Paper No. 22-20, 2022
Number of pages: 29 Posted: 08 Mar 2022
Antoine Didisheim, Bryan T. Kelly and Semyon Malamud
The University of Melbourne, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 1,097 (40,391)

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Deep learning, Neural network, Random features, Ensembles

11.

A Dynamic Equilibrium Model of ETFs

Downloads 1,059 (42,636)
Citation 27

A Dynamic Equilibrium Model of ETFs

Swiss Finance Institute Research Paper No. 15-37
Number of pages: 74 Posted: 19 Sep 2015
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 762 (65,793)
Citation 9

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exchange-traded funds, liquidity, volatility, co-movement, mis-pricing

A Dynamic Equilibrium Model of ETFs

Number of pages: 76 Posted: 02 Aug 2016
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 284 (213,142)
Citation 17

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exchange-traded funds, liquidity, volatility, co-movement, mis-pricing

A Dynamic Equilibrium Model of ETFs

CEPR Discussion Paper No. DP11469
Number of pages: 100 Posted: 30 Aug 2016
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 13 (1,144,108)
Citation 1
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exchange traded funds, Limits to Arbitrage, liquidity

12.

Financial Markets Equilibrium with Heterogeneous Agents

Downloads 863 (56,556)
Citation 17

Financial Markets Equilibrium with Heterogeneous Agents

Number of pages: 53 Posted: 13 Mar 2010
Jaksa Cvitanic, Elyes Jouini, Semyon Malamud and Clotilde Napp
California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine
Downloads 467 (121,821)
Citation 2

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Heterogeneous beliefs, heterogeneous preferences, heterogeneous time preference rates, contracyclical market price of risk, procyclical interest rate, term structure of interest rates, preferred habitat theory, long term risk

Financial Markets Equilibrium with Heterogeneous Agents

Swiss Finance Institute Research Paper No. 09-45
Number of pages: 56 Posted: 10 Dec 2009
Jaksa Cvitanic, Elyes Jouini, Semyon Malamud and Clotilde Napp
California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine
Downloads 396 (148,456)
Citation 15

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equilibrium, heterogeneous agents, volatility, optimal portfolios, survival, yield curve, long yield

13.

Non-Myopic Betas

Journal of Financial Economics (JFE), Vol. 129, No. 2, 2018
Number of pages: 60 Posted: 25 Nov 2015 Last Revised: 29 Jun 2022
Semyon Malamud and Grigory Vilkov
Ecole Polytechnique Federale de Lausanne and Frankfurt School of Finance & Management
Downloads 772 (65,669)
Citation 4

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Asset prices, beta, CAPM, hedging, asset allocation, portfolio management, mutual funds

14.

Forecasting Realized Volatility of Daily Futures Returns

Number of pages: 49 Posted: 01 Dec 2013 Last Revised: 24 Jun 2014
Bruno Gmuer and Semyon Malamud
Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 654 (81,174)

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Realized Volatility, Forecasting, Regression

15.

An Intermediation-Based Model of Exchange Rates

Downloads 615 (88,252)
Citation 10

An Intermediation-Based Model of Exchange Rates

Swiss Finance Institute Research Paper No. 18-14
Number of pages: 58 Posted: 06 Mar 2018 Last Revised: 01 Sep 2020
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 377 (156,912)
Citation 10

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Financial Intermediation, Exchange Rates, Currency Crashes, Uncovered Interest Parity, Covered Interest Parity

An Intermediation-Based Model of Exchange Rates

Swiss Finance Institute Research Paper No. 24-01, Forthcoming, Review of Financial Studies
Number of pages: 138 Posted: 11 Jan 2024 Last Revised: 25 Nov 2024
Semyon Malamud, Andreas Schrimpf and Yuan Zhang
Ecole Polytechnique Federale de Lausanne, Bank for International Settlements (BIS) - Monetary and Economic Department and Shanghai University of Finance and Economics
Downloads 171 (347,380)

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Financial Intermediation, Exchange Rates, Uncovered Interest Parity, Covered Interest Parity Deviations

An Intermediation-Based Model of Exchange Rates

BIS Working Paper No. 743
Number of pages: 52 Posted: 30 Oct 2018
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 65 (691,530)

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financial intermediation, exchange rates, safe haven, covered interest

An Intermediation-Based Model of Exchange Rates

CEPR Discussion Paper No. DP13182
Number of pages: 86 Posted: 17 Sep 2018
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2 (1,272,888)
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covered interest parity deviations, Exchange Rates, Financial Intermediation, safe haven

16.

Liquidity, Innovation, and Endogenous Growth

Downloads 601 (90,753)
Citation 9

Liquidity, Innovation, and Endogenous Growth

Swiss Finance Institute Research Paper No. 15-41
Number of pages: 72 Posted: 04 Jan 2017 Last Revised: 07 Dec 2018
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and European Central Bank
Downloads 475 (119,618)
Citation 5

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Innovation; Cash management; Financing frictions; Endogenous growth

Liquidity, Innovation, and Endogenous Growth

ECB Working Paper No. 1919
Number of pages: 66 Posted: 19 Jun 2016
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and European Central Bank
Downloads 123 (456,201)

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innovation, cash management, financial constraints, endogenous growth

Liquidity, Innovation, and Endogenous Growth

CEPR Discussion Paper No. DP10840
Number of pages: 62 Posted: 29 Sep 2015
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and European Central Bank
Downloads 3 (1,259,624)
Citation 4
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Cash management, Creative destruction, Endogenous growth, Financial constraints, Innovation

17.

Large (and Deep) Factor Models

Swiss Finance Institute Research Paper No. 23-121
Number of pages: 52 Posted: 29 Dec 2023 Last Revised: 21 Jan 2024
Bryan T. Kelly, Boris Kuznetsov, Semyon Malamud and Teng Andrea Xu
Yale SOM, Swiss Finance Institute, Ecole Polytechnique Federale de Lausanne and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 595 (91,896)

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18.

Portfolio Selection with Options and Transaction Costs

Swiss Finance Institute Research Paper No. 14-08
Number of pages: 58 Posted: 20 Feb 2014 Last Revised: 24 Jun 2014
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 579 (94,878)
Citation 3

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portfolio selection, dynamic trading, options, Greeks, transaction costs

19.

Market Consistent Pricing of Insurance Products

Number of pages: 32 Posted: 15 Mar 2007
Semyon Malamud, Eugene Trubowitz and Mario V. Wuthrich
Ecole Polytechnique Federale de Lausanne, Swiss Federal Institute of Technology Zurich and RiskLab, ETH Zurich
Downloads 564 (98,222)
Citation 14

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insurance, hedging, incomplete markets, utility indifference, market consistent

20.

Policy Announcement Design

Swiss Finance Institute Research Paper No. 20-17
Number of pages: 61 Posted: 08 Jan 2020 Last Revised: 06 Aug 2020
Anna Cieslak, Semyon Malamud and Andreas Schrimpf
Duke University - Fuqua School of Business, Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 474 (121,008)
Citation 3

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Central Bank Announcements, Learning, Bayesian Persuasion, Information Design

21.

Price Impact and Portfolio Impact

Swiss Finance Institute Research Paper No. 10-26
Number of pages: 80 Posted: 18 Jun 2010
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 452 (128,026)
Citation 16

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Survival, Price Impact, Equilibrium, Heterogeneous Agents, Optimal Portfolios

22.

Dominant Currency Debt

Downloads 446 (130,104)
Citation 26

Dominant Currency Debt

Swiss Finance Institute Research Paper No. 18-55
Number of pages: 95 Posted: 22 Aug 2018 Last Revised: 11 Jan 2021
Egemen Eren and Semyon Malamud
Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
Downloads 310 (193,512)
Citation 26

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Dollar debt, dominant currency, exchange rates, inflation

Dominant Currency Debt

BIS Working Paper No. 783
Number of pages: 96 Posted: 22 May 2019
Egemen Eren and Semyon Malamud
Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
Downloads 134 (423,605)

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dollar debt, dominant currency, exchange rates, inflation, debt deflation

Dominant Currency Debt

CEPR Discussion Paper No. DP13391
Number of pages: 99 Posted: 17 Dec 2018
Egemen Eren and Semyon Malamud
Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
Downloads 2 (1,272,888)
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dollar debt, dominant currency, Exchange Rates, inflation

23.

Learning (Not) to Trade: Lindy's Law in Retail Traders

Swiss Finance Institute Research Paper No. 20-100
Number of pages: 44 Posted: 04 Dec 2020 Last Revised: 07 Dec 2020
Teodor Godina, Serge Kassibrakis, Semyon Malamud, Alberto Teguia and Jiahua Xu
affiliation not provided to SSRN, Swissquote Bank, Ecole Polytechnique Federale de Lausanne, Rice University, Jesse H. Jones Graduate School of Business, Students and University College London - Department of Computer Science
Downloads 365 (163,528)

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Trading, Investor behavior, Learning, Rationality

24.

Asset Pricing with “Buy Now, Pay Later”

Swiss Finance Institute Research Paper No. 22-85
Number of pages: 100 Posted: 14 Nov 2022
Semyon Malamud, Neng Wang and Yuan Zhang
Ecole Polytechnique Federale de Lausanne, Columbia University - Columbia Business School, Finance and Shanghai University of Finance and Economics
Downloads 343 (175,549)

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asset pricing, yield curve, buy-now-pay-later, consumer credit, financial frictions, credit frictions

25.

Price Discovery through Options

Downloads 329 (184,260)

Price Discovery through Options

Swiss Finance Institute Research Paper No. 14-36
Number of pages: 27 Posted: 23 May 2014 Last Revised: 02 Jun 2014
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 176 (338,581)

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options, asymmetric information, learning, informational efficiency

Price Discovery Through Options

Number of pages: 28 Posted: 08 Oct 2014
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 153 (382,497)

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options, asymmetric information, price discovery, informational efficiency

26.

Money Market Funds and the Pricing of Near-Money Assets

Swiss Finance Institute Research Paper No. 23-04
Number of pages: 69 Posted: 30 Jan 2023 Last Revised: 13 Apr 2023
Sebastian Doerr, Egemen Eren and Semyon Malamud
Bank for International Settlements, Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
Downloads 309 (195,628)

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T-bills, repo, market power, price impact, liquidity premium, money market funds

27.

Decentralized Exchange

American Economic Review, Vol. 107, No. 11, 2017, Swiss Finance Institute Research Paper No. 18-25
Number of pages: 45 Posted: 23 Mar 2018 Last Revised: 01 Apr 2018
Semyon Malamud and Marzena J. Rostek
Ecole Polytechnique Federale de Lausanne and University of Wisconsin - Madison
Downloads 300 (203,327)
Citation 44

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28.

Variance Covariance Orders and Median Preserving

Swiss Finance Institute Research Paper No. 09-13
Number of pages: 29 Posted: 22 Apr 2009
Fabio Trojani and Semyon Malamud
University of Geneva and Ecole Polytechnique Federale de Lausanne
Downloads 282 (216,204)

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variance, risk, median preserving spread, Hansen-Jagannathan bounds

29.

Dealer Heterogeneity and Exchange Rates

Swiss Finance Institute Research Paper No. 18-56
Number of pages: 155 Posted: 22 Aug 2018 Last Revised: 11 Feb 2023
Florent Gallien, Sergei Glebkin, Serge Kassibrakis, Semyon Malamud and Alberto Teguia
Swissquote Bank, INSEAD, Swissquote Bank, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 280 (216,994)
Citation 1

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Liquidity, Foreign Exchange, OTC markets, Price Impact, Market Power

30.

Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences

Downloads 277 (219,448)
Citation 8

Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 58 Posted: 10 Oct 2009 Last Revised: 22 Jun 2014
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 159 (368,107)
Citation 3

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equilibrium, heterogeneous agents, volatility, optimal portfolios, stochastic opportunity set

Equilibrium Driven by Discounted Dividend Volatility

Swiss Finance Institute Research Paper No. 09-34
Number of pages: 46 Posted: 08 Sep 2009
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 118 (468,180)
Citation 5

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equilibrium, heterogeneous agents, volatility, optimal portfolios

31.

Information Percolation in Segmented Markets

Downloads 271 (225,917)
Citation 58

Information Percolation in Segmented Markets

Swiss Finance Institute Research Paper No. 10-09
Number of pages: 109 Posted: 09 Mar 2010 Last Revised: 10 Jul 2013
Darrell Duffie, Gustavo Manso and Semyon Malamud
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and Ecole Polytechnique Federale de Lausanne
Downloads 196 (306,700)
Citation 58

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Search, Matching, Double Auctions, Segmented Markets, Equilibrium, Information, Percolation

Information Percolation in Segmented Markets

NBER Working Paper No. w17295
Number of pages: 86 Posted: 12 Aug 2011 Last Revised: 05 Apr 2023
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 75 (639,791)

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32.

Asset Pricing in Heterogeneous Economies

ETH Zurich Department of Mathematics Working Paper
Number of pages: 149 Posted: 14 Jul 2005
Yvan Lengwiler, Semyon Malamud and Eugene Trubowitz
University of Basel - Faculty of Business and Economics (WWZ), Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 270 (225,055)
Citation 6

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Heterogeneity, equity premium puzzle, stylized facts, infinite horizon

33.

Asset Pricing with Large Investors

Swiss Finance Institute Research Paper No. 17-57
Number of pages: 58 Posted: 06 Nov 2017 Last Revised: 09 Jan 2018
Semyon Malamud and Alberto Teguia
Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 266 (229,325)
Citation 3

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Market Liquidity, Funding Liquidity, Price Impact, Strategic Trading

34.

Credit Market Frictions and Capital Structure Dynamics

Swiss Finance Institute Research Paper
Number of pages: 67 Posted: 16 Mar 2012 Last Revised: 28 Jan 2014
Julien Hugonnier, Semyon Malamud and Erwan Morellec
Centre for Economic Policy Research (CEPR), Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 266 (228,453)
Citation 9

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Credit supply uncertainty, dynamic capital structure, default risk, search

35.

Illiquidity and Higher Cumulants

Swiss Finance Institute Research Paper No. 20-80, Review of Financial Studies, Forthcoming
Number of pages: 76 Posted: 15 Sep 2020 Last Revised: 16 Aug 2022
Sergei Glebkin, Semyon Malamud and Alberto Teguia
INSEAD, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 256 (237,409)
Citation 11

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Price Impact, Higher Cumulants, Strategic Trading, Liquidity

36.

Persuasion by Dimension Reduction

Swiss Finance Institute Research Paper No. 21-69
Number of pages: 107 Posted: 22 Oct 2021 Last Revised: 26 Oct 2021
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 252 (242,089)

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Bayesian Persuasion, Information Design, Signalling, Learning

37.

Optimal Securitization with Heterogeneous Investors

Swiss Finance Institute Research Paper No. 10-10
Number of pages: 66 Posted: 04 Mar 2010 Last Revised: 16 Mar 2010
Semyon Malamud, Huaxia Rui and Andrew B. Whinston
Ecole Polytechnique Federale de Lausanne, University of Rochester - Simon Business School and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 244 (250,032)
Citation 2

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securitization, tranching, heterogeneity, mortgage backed securities, asset backed securities

38.

Intermediation Markups and Monetary Policy Passthrough

Swiss Finance Institute Research Paper No. 16-75
Number of pages: 61 Posted: 14 Dec 2016 Last Revised: 01 Oct 2017
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 242 (252,065)
Citation 2

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Monetary Policy, Stock Returns, Intermediation, Market Frictions

39.

Portfolio Delegation and Market Efficiency

Swiss Finance Institute Research Paper No. 14-09
Number of pages: 63 Posted: 20 Feb 2014
Semyon Malamud and Evgeny Petrov
Ecole Polytechnique Federale de Lausanne and University of Zurich - Department of Business Administration
Downloads 241 (253,063)
Citation 7

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portfolio delegation, optimal incentives, contracts, asymmetric information, informational efficiency

40.

Information Percolation with Equilibrium Search Dynamics

Econometrica, Vol. 77, No. 5, Swiss Finance Institute Research Paper No. 09-02
Number of pages: 61 Posted: 29 Jan 2009 Last Revised: 27 Nov 2009
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 239 (255,181)
Citation 21

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search, matching, equilibrium, information, percolation

41.

Managing Inventory with Proportional Transaction Costs

Swiss Finance Institute Research Paper No. 16-48
Number of pages: 39 Posted: 03 Jun 2016 Last Revised: 13 Apr 2018
Florent Gallien, Serge Kassibrakis and Semyon Malamud
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 234 (259,304)
Citation 1

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Inventory Management, Market Making, Transaction Costs

42.

Optimal Risk Sharing with Limited Liability

Swiss Finance Institute Research Paper No. 12-05
Number of pages: 82 Posted: 11 Feb 2012
Semyon Malamud, Huaxia Rui and Andrew B. Whinston
Ecole Polytechnique Federale de Lausanne, University of Rochester - Simon Business School and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 225 (270,317)
Citation 4

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optimal risk sharing, limited liability, optimal insurance design

43.

Optimal Transport of Information

Downloads 214 (283,517)

Optimal Transport of Information

Swiss Finance Institute Research Paper No. 21-15
Number of pages: 72 Posted: 23 Feb 2021 Last Revised: 08 Mar 2021
Semyon Malamud, Anna Cieslak and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne, Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
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Bayesian Persuasion, Information Design, Signalling, Optimal Transport

Optimal Transport of Information

CEPR Discussion Paper No. DP15859
Number of pages: 73 Posted: 01 Mar 2021 Last Revised: 15 Mar 2021
Anna Cieslak, Semyon Malamud and Andreas Schrimpf
Duke University - Fuqua School of Business, Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
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44.

Signaling with Debt Currency Choice

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Citation 2

Signaling with Debt Currency Choice

Swiss Finance Institute Research Paper No. 22-15
Number of pages: 70 Posted: 09 Feb 2022 Last Revised: 02 Feb 2023
Egemen Eren, Semyon Malamud and Haonan Zhou
Bank for International Settlements (BIS) - Monetary and Economic Department, Ecole Polytechnique Federale de Lausanne and Princeton University - Department of Economics
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Foreign currency debt, corporate debt, signaling, exchange rates

International Pecking Order

CEPR Discussion Paper No. DP17193
Number of pages: 71 Posted: 27 May 2022
Egemen Eren, Semyon Malamud and Haonan Zhou
Bank for International Settlements (BIS) - Monetary and Economic Department, Ecole Polytechnique Federale de Lausanne and Princeton University
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Citation 2
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Corporate Debt, Exchange Rates, foreign currency debt, Pecking order, signalling

45.

Asset Pricing for Idiosyncratically Incomplete Markets

Number of pages: 52 Posted: 10 Jul 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 205 (295,052)
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idiosyncratic risk, incomplete markets, heterogeneity, equity premium, stylized facts

46.

Price Formation in the Foreign Exchange Market

Swiss Finance Institute Research Paper No. 23-68, INSEAD Working Paper No. 2023/63/FIN
Number of pages: 111 Posted: 29 Aug 2023 Last Revised: 20 Nov 2023
Florent Gallien, Sergei Glebkin, Serge Kassibrakis, Semyon Malamud and Alberto Teguia
Swissquote Bank, INSEAD, Swissquote Bank, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
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Liquidity, Foreign Exchange, OTC markets, Price Impact, Market Power

47.

Asset Prices and Insurance Loadings

Number of pages: 37 Posted: 30 Mar 2007
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 201 (300,527)

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asset pricing, equilibrium, idiosyncratic risk, incomplete market, insurance, risk sharing

48.

A Unified Approach to Market Incompleteness

Number of pages: 48 Posted: 02 Jun 2007
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 198 (304,732)
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incomplete markets, idiosyncratic risk, precautionary saving, investment, marginal propensity to consume

49.

Rational Factor Analysis

Number of pages: 36 Posted: 05 Sep 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 198 (304,732)
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factor analysis, heterogeneity, perturbation theory, general equilibrium, existence, uniqueness

50.

Aggregate Risk Aversion for Jointly Heterogeneous Discount Factors and Risk Tolerances

Number of pages: 12 Posted: 31 Oct 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 189 (318,033)
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heterogeneity, aggregation, risk aversion

51.

The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation

Stanford University Graduate School of Business Research Paper No. 2023, Rock Center for Corporate Governance at Stanford University Working Paper No. 51, Swiss Finance Institute Research Paper No. 09-33
Number of pages: 39 Posted: 01 May 2009
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 182 (329,119)
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information percolation, search, learning rates

52.

Noisy Arrow-Debreu Equilibria

Swiss Finance Institute Research Paper No. 15-09
Number of pages: 50 Posted: 07 Mar 2015 Last Revised: 29 Apr 2015
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
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asymmetric information, options, price discovery, Arrow-Debreu state prices

53.

Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

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Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

Swiss Finance Institute Research Paper No. 09-03
Number of pages: 60 Posted: 16 Feb 2009
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
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Asset pricing, equilibrium, heterogeneous agents

Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

Number of pages: 58 Posted: 04 Feb 2009
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 51 (770,442)

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54.

The Optimal Consumption Stream of an Agent Exposed to Uninsurable Idiosyncratic Risk

Number of pages: 38 Posted: 05 Sep 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 166 (356,814)
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Optimal consumption stream, incomplete markets, idiosyncratic risk, convexity

55.

Optimal Incentives and Securitization of Defaultable Assets

Swiss Finance Institute Research Paper No. 11-48
Number of pages: 73 Posted: 21 Oct 2011 Last Revised: 03 Jul 2012
Semyon Malamud, Huaxia Rui and Andrew B. Whinston
Ecole Polytechnique Federale de Lausanne, University of Rochester - Simon Business School and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 165 (358,682)
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securitization, mortgage-backed securities, asset-backed securities, moral hazard, default risk

56.

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Swiss Finance Institute Research Paper No. 09-41
Number of pages: 77 Posted: 28 Sep 2009
Julien Hugonnier, Semyon Malamud and Eugene Trubowitz
Centre for Economic Policy Research (CEPR), Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 137 (415,346)
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continuous-time finance, dynamic market completeness, general equilibrium theory

57.

The Davis-Varaiya Multiplicity and Branching Numbers of a Filtration

Number of pages: 13 Posted: 16 Mar 2007
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 135 (422,546)
Citation 1

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martingales, complete markets, spanning number, filtration

58.

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Swiss Finance Institute Research Paper No. 18-60
Number of pages: 21 Posted: 23 Aug 2018 Last Revised: 07 Sep 2018
Florent Gallien, Serge Kassibrakis and Semyon Malamud
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
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Optimal Portfolio Choice, Transaction Costs, Hedging, Drawdown Constraints

59.

Nonmyopic Optimal Portfolios in Viable Markets

Swiss Finance Institute Research Paper No. 10-42
Number of pages: 55 Posted: 20 Oct 2010
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 128 (437,921)
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Heterogeneous Agents, Nonmyopic Optimal Portfolios, Hedging Demand, Equilibrium

60.

Pricing Tokens on Industrial Production

Number of pages: 10 Posted: 18 Apr 2019
Serge Kassibrakis and Semyon Malamud
Swissquote Bank and Ecole Polytechnique Federale de Lausanne
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tokens, ICO, optimal execution

61.

Market Integration and Global Crashes

Downloads 108 (500,937)
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Market Integration and Global Crashes

Swiss Finance Institute Research Paper No. 16-49
Number of pages: 39 Posted: 25 Jul 2016
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and McGill University
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Market Integration, Foreign Direct Investment, Frictions, Fragility, Crashes, Crises

Market Integration and Global Crashes

CEPR Discussion Paper No. DP11468
Number of pages: 40 Posted: 30 Aug 2016
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and McGill University
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Crashes, Crises, Financial Frictions, market integration

62.

The Long Horizon Behavior of Asset Prices in Heterogeneous Economies

Number of pages: 39 Posted: 26 Dec 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 108 (500,937)
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heterogeneity, infinite horizon, survival, stylized facts, asset prices

63.

Behavioral Impulse Responses

Number of pages: 85 Posted: 21 Nov 2024
Bryan T. Kelly, Semyon Malamud, Emil Siriwardane and Hongyu Wu
Yale SOM, Ecole Polytechnique Federale de Lausanne, Harvard Business School - Finance Unit and Yale School of Management
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Belief formation, Forecasting, Rational Expectations, Behavioral Economics

64.

Concavity of the Consumption Function with Recursive Preferences

Swiss Finance Institute Research Paper No. 14-37
Number of pages: 16 Posted: 24 May 2014
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 97 (539,833)

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consumption, saving, marginal propensity to consume, recursive preferences, resolution of uncertainty

65.

Strategic Trading with Wealth Effects

INSEAD Working Paper No. 2023/65/FIN, 23-116
Number of pages: 85 Posted: 21 Nov 2023 Last Revised: 27 Nov 2023
Sergei Glebkin, Semyon Malamud and Alberto Teguia
INSEAD, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 87 (574,119)

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Market Liquidity, Funding Liquidity, Price Impact, Strategic Trading, Wealth Effects

66.

Universal Bounds for Asset Prices in Heterogeneous Economies

Number of pages: 15 Posted: 25 Jul 2007
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 71 (649,069)

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heterogeneity, asset prices, yield curve, bounds

67.

Apt or “Aipt”? The Surprising Dominance of Large Factor Models

NBER Working Paper No. w33012
Number of pages: 146 Posted: 01 Oct 2024
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
The University of Melbourne, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
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68.

Intermediation Markups and Monetary Policy Pass-Through

CEPR Discussion Paper No. DP12623
Number of pages: 79 Posted: 22 Jan 2018
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
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