create a website

Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. (2019). He, Xinjiang ; Huang, Nan-Jing ; Yang, Ben-Zhang.
In: Papers.
RePEc:arx:papers:1901.00345.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 34

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. A. Admati, P. Pfleiderer, A theory of intraday patterns: volume and price variability, Rev. Financ. Stud., 1 (1) (1988), 3-40.

  2. A. Kyle, Continuous auctions and insider trading, Econometrica, 53 (6) (1985), 1315-1335.

  3. A.N. Shiryaev, On arbitrage and replication for fractal models, Preprint, Moscow University and Steklov Institute, 1999.
    Paper not yet in RePEc: Add citation now
  4. A.R. Gallant, P.E. Rossi, G. Tauchen, Stock prices and volume, Rev. Financ. Stud., 5 (2) (1992), 199-242.

  5. B. Mandelbrot, J. van Ness, Fractional Brownian motions, fractional noises and applications, SIAM Rev., 10 (4) (1968), 422-437.
    Paper not yet in RePEc: Add citation now
  6. B.Z. Yang, J. Yue, N.J. Huang, Variance swaps under Lévy process with stochastic volatility and stochastic interest rate in incomplete market. arXiv:1712.10105[q-fin.PR].
    Paper not yet in RePEc: Add citation now
  7. C. Granger, N. Hyung, Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns, J. Empir. Financ., 11 (2004), 399-421.

  8. F. Diebold, A. Inoue, Long memory and regime switching, J. Econometrics, 105 (2001), 131-159.

  9. F.D. Foster, S. Viswanathan, A theory of the interday variations in volume, variance, and trading costs in securities markets, Rev. Financ. Stud., 3 (4) (1990), 593-624.

  10. F.D. Foster, S. Viswanathan, Can speculative trading explain the volume-volatility relation? J. Bus. Econ. Stat., 13 (4) (1995), 379-396.

  11. F.D. Foster, S. Viswanathan, Variations in trading volume, return volatility, and trading costs: evidence on recent price formation models, J. Finance, 48 (1) (1993), 187-211.

  12. G. Chang, S. Suresh, Asset prices and default-free term structure in an equilibrium model of default, J. Bus., 78 (2005), 1215-1266.

  13. I. Karatzas, S.E. Sherve, Brownian Motion and Stochastic Calculs, Berlin: Springer-Verlag, 1991.
    Paper not yet in RePEc: Add citation now
  14. J. Liu, J. Pan, T. Wang, An equilibrium model of rare-event premiums and its implication for option smirks. Rev. Financ. Stud., 8 (2005), 131-164.

  15. J. Yue, N.J. Huang, Fractional Wishart processes and ε-fractional Wishart processes with applications, Comput. Math. Appl., 75 (8) (2018), 2955-2977.
    Paper not yet in RePEc: Add citation now
  16. J. Yue, N.J. Huang, Neutral and indifference pricing with stochastic correlation and volatility, J. Ind. Manag. Optim, 14 (1) (2018), 199-229.
    Paper not yet in RePEc: Add citation now
  17. J.P. Lepeltier, J.S. Martin, Existence for BSDE with superlinear-quadratic coefficient, Stoch. Stoch. Rep., 63 (3-4) (1992), 227-240.
    Paper not yet in RePEc: Add citation now
  18. K. Back, H. Pedersen, Long-lived information and intraday patterns, J. Financ. Mark., 1 (1998), 385402.

  19. K. Back, Insider trading in continuous time, Rev. Financ. Stud., 5 (1992), 387-409.

  20. K. Back, S. Baruch, Information in securities markets: Kyle meets Glosten and Milgrom, Econometrica, 72 (2) (2004), 433-465.

  21. M. Mrázek, J. Pospı́šil, T. Sobotka, On calibration of stochastic and fractional stochastic volatility models, Eur. J. Oper. Res. 254 (2016), 1036-1046.

  22. N. Hyung, S. Poon, C. Granger, A Source of Long Memory in Volatility. Working Paper, University of California, San Diego, 2006.
    Paper not yet in RePEc: Add citation now
  23. P. Collin-Dufresne, V. Fos, Insider trading, stochastic liquidity, and equilibrium prices, Econometrica, 84 (4) (2016), 1441-1475.

  24. P. Guasoni, M.H. Weber, Rebalancing multiple assets with mutual price impact, J. Optim. Theory Appl., 179 (2) (2018), 618-653.

  25. P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41 (1) (1973), 135-155.

  26. R. Caldentey, E. Stacchetti, Insider trading with a random deadline, Econometrica, 78 (1) (2010), 245-283.

  27. R. Liptser, A. Shiryaev, Statistics of Random Processes II: Applications (Second ed.), Berlin: SpringerVerlag, 2001.
    Paper not yet in RePEc: Add citation now
  28. S. Baruch, Insider trading and risk aversion, J. Financ. Mark., 5 (4) (2002), 451-464.

  29. S.P. Zhu, X.J. He, A new closed-form formula for pricing European options under a skew Brownian motion, Eur. J. Financ., 24 (12) (2018), 1063-1074.

  30. T. Bollerslev, D. Jubinski, Equity trading volume and volatility: latent information arrivals and common long-run dependencies, J. Bus. Econ. Stat., 17 (1999), 9-21.

  31. T.G. Andersen, Return volatility and trading volume: an information flow interpretation of stochastic volatility, J. Finance, 51 (1) (1996), 169-204.

  32. T.H. Thao, An approximate approach to fractional analysis for finance. Nonlinear Anal. RW, 7 (2006), 124-132.
    Paper not yet in RePEc: Add citation now
  33. V. Naik, M. Lee, General equilibrium pricing of options on the market portfolio with discontinuous returns. Rev. Financ. Stud., 3 (1990), 493-521.

  34. X.J. He, S.P. Zhu, An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching, J. Econom. Dynam. Control., 71 (2016), 77-85.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: The Review of Financial Studies.
    RePEc:oup:rfinst:v:22:y:2009:i:11:p:4601-4641.

    Full description at Econpapers || Download paper

  2. Where is the Market? Evidence from Cross-Listings in the U.S.. (2006). Zechner, Josef ; Pagano, Marco ; Randl, Otto ; Halling, Michael.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:129.

    Full description at Econpapers || Download paper

  3. The Impact of the Suspension of Opening and Closing Call. (2005). Green, Christopher ; Camilleri, Silvio.
    In: Finance.
    RePEc:wpa:wuwpfi:0506006.

    Full description at Econpapers || Download paper

  4. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11444.

    Full description at Econpapers || Download paper

  5. Foreign Direct Investment vs. Foreiegn Portfolio Investment. (2005). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11047.

    Full description at Econpapers || Download paper

  6. Valutation, Liquidity and Risk in Government Bond Markets. (2005). von Thadden, Ernst-Ludwig ; Pagano, Marco ; Favero, Carlo.
    In: Working Papers.
    RePEc:igi:igierp:281.

    Full description at Econpapers || Download paper

  7. Explaining cross-border large-value payment flows: evidence from TARGET and EURO 1 data. (2005). Secola, Stefania ; Rosati, Simonetta.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005443.

    Full description at Econpapers || Download paper

  8. Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?. (2005). King, Michael ; Padalko, Maksym.
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-3.

    Full description at Econpapers || Download paper

  9. The Impact of the Suspension of Opening and Closing Call. (2004). Green, Christopher ; Camilleri, Silvio.
    In: Finance.
    RePEc:wpa:wuwpfi:0411012.

    Full description at Econpapers || Download paper

  10. A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange. (2004). Ekinci, Cumhur.
    In: Finance.
    RePEc:wpa:wuwpfi:0305006.

    Full description at Econpapers || Download paper

  11. Cancellation and Uncertainty Aversion on Limit Order Books. (2004). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:045.

    Full description at Econpapers || Download paper

  12. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2004-6.

    Full description at Econpapers || Download paper

  13. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:579.

    Full description at Econpapers || Download paper

  14. Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas. (2004). Heinen, Andréas ; Rengifo, Erick.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:755.

    Full description at Econpapers || Download paper

  15. The Effects of Economic News on Bond Market Liquidity. (2004). D'Souza, Chris ; Gaa, Charles.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-16.

    Full description at Econpapers || Download paper

  16. Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media. (2003). Schuster, Thomas.
    In: Finance.
    RePEc:wpa:wuwpfi:0307014.

    Full description at Econpapers || Download paper

  17. Futures trading activity and stock price volatility: some extensions. (2003). Song, Frank ; Adrangi, B. ; Chatrath, A..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:655-664.

    Full description at Econpapers || Download paper

  18. The role of information in Hong Kong individual stock futures trading. (2003). Brooks, R. D. ; Mckenzie, M. D..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:2:p:123-131.

    Full description at Econpapers || Download paper

  19. An Information-Based Trade Off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency, and Welfare. (2003). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9426.

    Full description at Econpapers || Download paper

  20. Presión sobre los precios en las revisiones del índice IBEX35. (2003). Gomez Sala, Juan ; Yzaguirre, Jorge .
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:27:y:2003:i:3:p:491-531.

    Full description at Econpapers || Download paper

  21. Limit Order Book as a Market for Liquidity. (2003). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: Discussion Paper Series.
    RePEc:huj:dispap:dp321.

    Full description at Econpapers || Download paper

  22. Dealer Behavior and Trading Systems in Foreign Exchange Markets. (2003). Rime, Dagfinn ; Bjønnes, Geir ; Bjonnes, Geir Hoidal.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0017.

    Full description at Econpapers || Download paper

  23. The use of flow analysis in foreign exchange: exploratory evidence. (2003). Menkhoff, Lukas ; Gehrig, Thomas.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-276.

    Full description at Econpapers || Download paper

  24. When is inter-transaction time informative?. (2003). Furfine, Craig.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-03-04.

    Full description at Econpapers || Download paper

  25. Transmission of information across international equity markets. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:759.

    Full description at Econpapers || Download paper

  26. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:502.

    Full description at Econpapers || Download paper

  27. Time-Varying Arrival Rates of Informed and Uninformed Trades. (2002). Wu, Liuren ; Engle, Robert ; Easley, David.
    In: Finance.
    RePEc:wpa:wuwpfi:0207017.

    Full description at Econpapers || Download paper

  28. Stealth-Trading: Which Traders Trades Move Stock Prices?. (2002). Chakravarty, Sugato.
    In: Finance.
    RePEc:wpa:wuwpfi:0201003.

    Full description at Econpapers || Download paper

  29. Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?. (2002). Chakravarty, Sugato ; Wood, Robert A. ; Frederick H. deB. Harris, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0201003.

    Full description at Econpapers || Download paper

  30. Market Liquidity as a Sentiment Indicator. (2002). Stein, Jeremy ; Baker, Malcolm.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8816.

    Full description at Econpapers || Download paper

  31. The market for ADRs and the quality of the Brazilian stock market. (2001). Sanvicente, Antonio.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_42.

    Full description at Econpapers || Download paper

  32. FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets. (2000). Rime, Dagfinn ; Bjonnes, H..
    In: Memorandum.
    RePEc:hhs:osloec:2000_029.

    Full description at Econpapers || Download paper

  33. The role of financial reporting in reducing financial risks in the market. (2000). KOTHARI, S. P..
    In: Conference Series ; [Proceedings].
    RePEc:fip:fedbcp:y:2000:i:jun:p:89-112:n:44.

    Full description at Econpapers || Download paper

  34. Durations, Volume and the Prediction of Financial Returns in Transaction Time. (2000). Hafner, Christian.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0599.

    Full description at Econpapers || Download paper

  35. Private Information and Trade Timing. (2000). Smith, Lones.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1012-1018.

    Full description at Econpapers || Download paper

  36. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions. (1999). Hautsch, Nikolaus.
    In: Finance.
    RePEc:wpa:wuwpfi:9904002.

    Full description at Econpapers || Download paper

  37. LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market. (1999). Wong, Woon ; Copeland, Laurence.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:2:p:123-139.

    Full description at Econpapers || Download paper

  38. The Market Microstructure of Central Bank Intervention. (1999). Dominguez, Kathryn.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7337.

    Full description at Econpapers || Download paper

  39. Intervention as information: a survey. (1999). Humpage, Owen ; Baillie, Richard ; Osterberg, William P..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9918.

    Full description at Econpapers || Download paper

  40. Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model. (1998). Engle, Robert ; Russell, Jeffrey R..
    In: CRSP working papers.
    RePEc:wop:chispw:470.

    Full description at Econpapers || Download paper

  41. An analysis of brokers trading with applications to order flow internalization and off-exchange sales. (1998). Sarkar, Asani ; Chakravarty, Sugato.
    In: Research Paper.
    RePEc:fip:fednrp:9813.

    Full description at Econpapers || Download paper

  42. Is There Private Information in the FX Market? The Tokyo Experiment.. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-270.

    Full description at Econpapers || Download paper

  43. Is There Private Information in the FX Market? The Tokyo Experiment. (1997). Melvin, Michael ; Lyons, Richard ; Ito, Takatoshi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5936.

    Full description at Econpapers || Download paper

  44. Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0191.

    Full description at Econpapers || Download paper

  45. Is there private information in the FX market? the Tokyo experiment. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
    In: Pacific Basin Working Paper Series.
    RePEc:fip:fedfpb:97-04.

    Full description at Econpapers || Download paper

  46. Public Information Arrival, Exchange Rate Volatility, and Quote Frequency. (1996). Melvin, Michael ; Yin, Xixi.
    In: Working Papers.
    RePEc:wop:astewp:9601.

    Full description at Econpapers || Download paper

  47. Dynamic Equilibrium and Volatility in Financial Asset Markets. (1996). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5479.

    Full description at Econpapers || Download paper

  48. Long-Lived Information and Intraday Patterns. (1995). Back, Kerry ; Pedersen, Hal.
    In: Finance.
    RePEc:wpa:wuwpfi:9507009.

    Full description at Econpapers || Download paper

  49. Long-Lived Information and Intraday Patterns. (1995). Back, Kerry ; Pedersen, Hal.
    In: Finance.
    RePEc:wpa:wuwpfi:9507008.

    Full description at Econpapers || Download paper

  50. An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange. (1995). Niemeyer, Jonas ; Sands, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0044.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-18 11:22:03 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.