Optimal trading strategy and supply/demand dynamics
AA Obizhaeva, J Wang - Journal of Financial markets, 2013 - Elsevier
In this paper, we study how the intertemporal supply/demand of a security affects trading
strategy. We develop a general framework for a limit order book market to capture the dynamics …
strategy. We develop a general framework for a limit order book market to capture the dynamics …
Market microstructure invariance: Empirical hypotheses
AS Kyle, AA Obizhaeva - Econometrica, 2016 - Wiley Online Library
Using the intuition that financial markets transfer risks in business time, “market microstructure
invariance” is defined as the hypotheses that the distributions of risk transfers (“bets”) and …
invariance” is defined as the hypotheses that the distributions of risk transfers (“bets”) and …
Market microstructure invariance: Theory and empirical tests
AS Kyle, AA Obizhaeva - Anna A., Market Microstructure …, 2004 - papers.ssrn.com
Using the intuition that financial markets transfer risks in business time, we define “market
microstructure invariance” as the hypothesis that the distribution of risk transfers (“bets”), …
microstructure invariance” as the hypothesis that the distribution of risk transfers (“bets”), …
Smooth trading with overconfidence and market power
AS Kyle, AA Obizhaeva, Y Wang - The Review of Economic …, 2018 - academic.oup.com
We describe a symmetric continuous-time model of trading among relatively overconfident,
oligopolistic informed traders with exponential utility. Traders agree to disagree about the …
oligopolistic informed traders with exponential utility. Traders agree to disagree about the …
Intraday trading invariance in the E-mini S&P 500 futures market
…, O Bondarenko, AS Kyle, AA Obizhaeva - Anna A., Intraday …, 2018 - papers.ssrn.com
We document a transaction level invariance relation among concurrent activity variables in
the S&P 500 futures market: return volatility per transaction is proportional to the inverse of …
the S&P 500 futures market: return volatility per transaction is proportional to the inverse of …
Large bets and stock market crashes
AS Kyle, AA Obizhaeva - Review of Finance, 2023 - academic.oup.com
Some market crashes occur because of significant imbalances in demand and supply.
Conventional models fail to explain the large magnitudes of price declines. We propose a unified …
Conventional models fail to explain the large magnitudes of price declines. We propose a unified …
[PDF][PDF] Large bets and stock market crashes
AS Kyle, AA Obizhaeva - 2016 - cefir.ru
For five stock market crashes, we compare price declines with predictions from market
microstructure invariance. During the 1987 crash and the sales by Société Générale in 2008, …
microstructure invariance. During the 1987 crash and the sales by Société Générale in 2008, …
The market impact puzzle
AS Kyle, AA Obizhaeva - Anna A., The Market Impact Puzzle …, 2018 - papers.ssrn.com
Finding a universal market impact formula remains one of the most fascinating puzzles in
finance. This paper reviews two possible approaches for imposing restrictions on this formula. …
finance. This paper reviews two possible approaches for imposing restrictions on this formula. …
Market microstructure invariance: A dynamic equilibrium model
AS Kyle, AA Obizhaeva - Anna A., Market Microstructure …, 2020 - papers.ssrn.com
We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of
adverse selection with risk-neutral informed traders, noise traders, market makers, and with …
adverse selection with risk-neutral informed traders, noise traders, market makers, and with …
Microstructure invariance in US stock market trades
AS Kyle, AA Obizhaeva, T Tuzun - Journal of Financial Markets, 2020 - Elsevier
We examine invariance relationships in tick-by-tick transaction data in the US stock market.
Over the period 1993–2001, monthly regression coefficients of the log of the trade arrival rate …
Over the period 1993–2001, monthly regression coefficients of the log of the trade arrival rate …