Ross Prize Lecture - Over-the-Counter Markets: A Retrospective

Abstract

These slides present the hallmarks of a Steve Ross paper and provide an overview of the literature on search in financial markets. 

Steve Ross's papers were motivated by real-world problems, had beautiful solutions, and provided useful insights. The hallmark of a “Ross model” was that it was simultaneously a toy model, sophisticated model, workhorse model, and an actionable model. A Ross model contained at its heart a simple toy model illuminating intuition. Its sophisticated version provided deep insights. So flexible that other researchers could extend it in multiple directions, it served as a workhorse model. The model was actionable for finance practitioners due to its quantitative predictions.

 

The slides were used at the 8th FARFE Conference in connection with the Seventh Ross Prize for Over-the-Counter Markets (Duffie, Garleanu, and Pedersen, Ectrica 2005).