Institutional Investors and Stock Market Volatility

By Yaping Wang, Zhao-hui Wang. 2017

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Market Microstructure Invariance: Empirical Hypotheses (2016, methodology): “Gabaix et al. (2006) formalize this approach under the assumptions that orders are executed as a constant fraction of volume and liquidity providers have mean-variance utility functions linear in expected wealth and its standard deviation (not variance).”
Power Laws in Economics: An Introduction (2016, background): “…an da rd d ev ia ti on GDP 102 104 106 108 1010 1012 (b) Firms Countries j_gabaix_301.indd 199 1/20/16 7:01 AM tentative evidence that a similar process unwound at the onset of the great stock market crashes of 1929 and 1987 (see the discussion in Gabaix et al. 2006; Kyle and Obizhaeva 2013).”