Related Books

Stock Price Crashes: Role of Slow-moving Capital
Language: en
Pages:
Authors: Mila Getmansky
Categories:
Type: BOOK - Published: 2018 - Publisher:

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We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross
Stock Price Crashes
Language: en
Pages: 53
Authors: Mila Getmansky
Categories: Portfolio management
Type: BOOK - Published: 2017 - Publisher:

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We study two fast crashes using orders/cancellations/trades data with trader identities for a stock trading in the spot and single stock futures markets on the
Slow Moving Capital
Language: en
Pages: 0
Authors: Mark Mitchell
Categories: Arbitrage
Type: BOOK - Published: 2007 - Publisher:

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We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. T
Slow-Moving Capital and Stock Returns
Language: en
Pages: 48
Authors: Sergey Isaenko
Categories:
Type: BOOK - Published: 2019 - Publisher:

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This paper studies the effects that delays in capital allocations in the stock market and high short-term trading incentives have on returns of this market. We
Stock Market Crashes: Predictable And Unpredictable And What To Do About Them
Language: en
Pages: 309
Authors: William T Ziemba
Categories: Business & Economics
Type: BOOK - Published: 2017-08-30 - Publisher: World Scientific

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'Overall, the book provides an interesting and useful synthesis of the authors’ research on the predictions of stock market crashes. The book can be recommend