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Resiliency: Cross-Venue Dynamics with Hawkes Processes
(2020-10-16)
Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability of global equity limit order markets. Taking market resiliency as an indicator of market quality, we ...
The FOMC Risk Shift
(2021-01-27)
We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free ...
Obfuscation and Rational Inattention in Digitalized Markets
(2021-02-05)
This paper studies the behavior of competing firms in a duopoly with rational inattentive consumers. Firms play a sequential game in which they decide to obfuscate their individual prices before competing on price. ...
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
(2021-03-24)
We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually ...
BEA
The Bureau of Economic Analysis produces economic accounts statistics that enable government and business decision-makers, researchers, and the American public to follow and understand the performance of the Nation's economy.
Statistics Sweden
Our main task is to supply users and customers with statistics for decision making, debate and research. We do this mainly through assignments from the government and other government agencies. We also have customers from ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
PSID
The Panel Study of Income Dynamics (PSID) is the longest running longitudinal household survey in the world. The study began in 1968 with a nationally representative sample of over 18,000 individuals living in 5,000 families ...
IFO
"The ifo Institute provides the material with which it strives to shape the discourse on relevant topics in academia and in the public eye - hence our claim ""Shaping the Economic Debate"""
OptionMetrics
OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...