Coventry CV4 7AL
University of Warwick, Warwick Business School
in Total Papers Downloads
in Total Papers Citations
Adverse Selection, Ambiguity Aversion, Endogenous Commitment
ambiguity aversion, asymmetric information, value of ambiguous information
skew risk premium, variance risk premium, index options
execution risk, limit to arbitrage, liquidity, high-frequency trading strategies
execution risk, limit to arbitrage, liquidity, inventory costs
Arbitrage, Liquidity, Adverse Selection, High Frequency Trading
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9925.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Adverse Selection, Arbitrage, High Frequency Trading, Liquidity
Security design, financial innovation, capital structure, asymmetric information, venture capital
security design, financial innovation, capital structure, asymmetric information, venture capital
Momentum, Knightian Uncertainty, Asymmetric Response
limit order book, profitability, high-frequency data
uncertainty aversion, exchange rate formation, agent-based modeling
Exchange rates; International financial markets; Order flow
Knightian uncertainty, market timing, predictability, high-frequency data
Anonymous Game, Uncertainty, Non-Additive Measure, Capacity
Spurious Regression, Weak Dependence, Structural Breaks, Strictly Stationary, Autoregressive Processes
financing constraints, growth, investment, cash flow sensitivity
Insider trading, Short selling, Informed trading, Earnings announcements
Forward Volatility Agreement, Foreign Exchange Volatility, Risk Premium, Term Structure
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.632 seconds