Market Fragmentation and Contagion
We study the transmission of liquidity shocks from one sector of the economy to other sectors in a general equilibrium model with multiple trading...
DP 102
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
Information Acquisition, Price Informativeness and Welfare
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...
DP 77
Walrasian foundations for equilibria in segmented markets
Mathematics and Financial Economics, Volume 8, pages 249–264.
Walrasian Foundations for Equilibria in Segmented Markets
We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...
DP 6
Market Quality and Contagion in Fragmented Markets
Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...
DP 2