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An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture theExpand
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Trade Credit and Credit Rationing
Asymmetric information between banks and firms can preclude financing of valuable projects. Trade credit alleviates this problem by incorporating in the lending relation the private information heldExpand
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Judgmental Overconfidence, Self-Monitoring and Trading Performance in an Experimental Financial Market
We measure the degree of overconfidence in judgment (in the form of miscalibration, i.e., the tendency to overestimate the precision of one’s information) and self-monitoring (a form of attentivenessExpand
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Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications
An entrepreneur with limited liability needs to finance an infinite horizon investment project. An agency problem arises because she can divert operating cash flows before reporting them to theExpand
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Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets
This paper compares centralized.and fragmented markets, such as floor and telephone markets. Risk-averse agents compete for one market order. In centralized markets, these agents a re market makersExpand
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Large risks, limited liability, and dynamic moral hazard
We study a continuous-time principal-agent model in which a risk-neutral agent with limited liability must exert unobservable effort to reduce the likelihood of large but relatively infrequentExpand
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Consider strategic risk-neutral traders competing in schedules to supply liquidity to a risk-averse agent who is privately informed about the value of the asset and his hedging needs. ImperfectExpand
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Price Discovery and Learning during the Preopening Period in the Paris Bourse
Before the opening of the Paris Bourse, traders place orders and indicative prices are set. This offers a laboratory to study empirically the tâtonnement process through which markets discoverExpand
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Equilibrium Fast Trading
High-speed market connections improve investors' ability to search for attractive quotes in fragmented markets, raising gains from trade. They also enable fast traders to observe market informationExpand
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Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications
Abstract We survey the literature analyzing the price formation and trading process, and the consequences of market organization for price discovery and welfare. We offer a synthesis of theExpand
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