Episodic Liquidity Crises: Cooperative and Predatory Trading
By Ian Bruce, M. Carlin, S. Lobo, Viswanathan, Robert Almgren, Yacov Amihud, Kerry Back, Ravi Bansal, Michael Brandt, Markus K. Brunnermeier and 23 more. 2007
298 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Safety Research
View Paper: https://www.semanticscholar.org/paper/46d101f91327fca746e45bf54db5eb4e77c254c9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Daniel Lacker
- René A. Carmona
- Aurélien Alfonsi
- Alexander Schied
- Francis A. Longstaff
- Antje Fruth
- Markus Fischer
- François Delarue
In Finance
- Daniel Lacker
- René A. Carmona
- Aurélien Alfonsi
- Alexander Schied
- Francis A. Longstaff
- Antje Fruth
- Markus Fischer
- Huyen Pham
Citations in the corpus
- A probabilistic weak formulation of mean field games and applications (2013, methodology): “The model is along the lines of Almgren and Chriss’s model [3] for price impact, or rather its natural extension to an n-player competitive game given by Carlin, Lobo, and Viswanathan in [8].”
- Optimal execution strategies in limit order books with general shape functions (2007, background): “a given fundamental, Obizhaeva and Wang (2005) recently proposed a market impact model that derives its dynamics from an underlying model of a limit order book (LOB).”
- Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013, unknown): “Most notably, speculators could engage in “predatory trading” to exploit traders in distress (e.g., Brunnermeier and Pedersen (2005), Attari, Mello, and Ruckes (2005), Carlin, Lobo, and Viswanathan (2007), and Pritsker (2009)).”
- Dynamic Trading with Predictable Returns and Transaction Costs (2013, unknown): “Our continuous-time model with with bounded-variation trading shares features with Longstaff (2001) and, in the context of predatory trading, by Brunnermeier and Pedersen (2005) and Carlin, Lobo, and Viswanathan (2008) .”
- The subprime credit crisis and contagion in financial markets (2010, background): “…(1994), Opler and Titman (1994), Clark and Ofek (1994), John and Ofek (1995), Andrade and Kaplan (1998), Pulvino (1998), Kahl (2002), Longstaff (2004), Vayanos (2004), Acharya and Pedersen (2005), Brunnermeier and Pedersen (2005), Carlin, Lobo, and Viswanathan (2007) the asset-backed CDO market.”
- Optimal Basket Liquidation for CARA Investors is Deterministic (2010, unknown): “[23, 13, 27].”
- Do Dark Pools Harm Price Discovery (2013, unknown): “…from some of the trading practices that are applied in dark pools, such as “pinging,”3 order routing,4 2Investors who reveal their trading intentions to the market may be subject to “predatory trading,” as modeled by Brunnermeier and Pedersen (2005) and Carlin, Lobo, and Viswanathan (2007).”