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Market Liquidity and Competition among Designated Market Makers
In: forthcoming in Management Science
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Working paper
High Frequency Traders without Trading: Price Discovery and Liquidity Provision in the Pre-Opening Period
In: SAFE Working Paper No. 144
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How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective
In: forthcoming in Management Science
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Working paper
Recovery from Fast Crashes: Role of Mutual Funds
In: SAFE Working Paper No. 227
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Working paper
Recovery from fast crashes: Role of mutual funds
We study the role mutual funds play in the recovery from fast intraday crashes based on data from the National Stock Exchange of India for a single large stock. During normal times, trading activity and liquidity provision by mutual funds is negligible compared to other traders at around 4% of overall activity. Nevertheless, for the two intraday market-wide crashes in our sample, price recovery took place only after mutual funds moved in. Market stability may require the presence of well-capitalized standby liquidity providers for recovery from fast crashes.
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Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods
In: University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 09/WP/2020
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Working paper
Coming Early to the Party
In: University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2020
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Working paper
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Working paper
Stock Price Crashes: Role of Slow-Moving Capital
In: NBER Working Paper No. w24098
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Working paper
Non-Standard Errors
In: Journal of Finance Forthcoming
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