Strategic trading in a dynamic noisy market
By Dimitri Vayanos. 2001
146 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/3e14966010ffbb7a7b43e1959fd5810c95cb3272
How researchers see this paper
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In Economics and Econometrics
- Ronnie Sadka
- Robert A. Korajczyk
- Hong Liu
- Steven Heston
- Jiongmin Yong
- Michael W. Brandt
- Yong Tan
- Mark Maffett
In Finance
- Ronnie Sadka
- Jiongmin Yong
- Robert A. Korajczyk
- Hong Liu
- Steven Heston
- Jingrui Sun
- Lars Stentoft
- P. J. Graber
Citations in the corpus
- The on-the-run liquidity phenomenon (2009, unknown): “Other papers have studied the properties of a financial market in which strategic traders receive privately observable endowment shocks, most notably Vayanos (1999, 2001), and Bhattacharyya and Nanda (2008).”
- Option pricing with an illiquid underlying asset market (2005, methodology): “Consistent with the price impact form obtained in Kyle (1985), Back (1993), and Vayanos (2001), and the one used in Bertsimas and Lo (1998), we assume λ(t, S) = { γ S (1 − e−β(T−t)) if S ≤ S ≤ S̄ 0 otherwise, where the constant price impact coefficient γ > 0 measures the price impact per traded…”
- Equilibrium in a Dynamic Limit Order Market (2005, unknown): “22 Such correlation may arise in mechanical fashion if large uninformed traders optimally split their orders to minimize their price impact (see, for example, Vayanos, 2001).”
- Intraday Patterns in the Cross-Section of Stock Returns (2010, background): “s extend the above results to incorporate the risk of the trading program, in addition to the expected trading cost, for risk averse traders (e.g., Almgren and Chriss (2000), Grinold and Kahn (2000), Vayanos (2001), Huberman and Stanzl (2005), and Engle and Ferstenberg (2007)). Under price dynamics ”
- Liquidity and Asset Prices (2005, unknown): “…and Brunnermeier and Pedersen (2005b) who study predatory trading (trading the exploits or induces other traders need to liquidate a position),16 Vayanos (2001) and Cao et al. (2003) who consider strategic trading due to risk sharing, and Gallmeyer et al. (2004) who study uncertainty about the…”