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作者：Menkveld, Albert J.; Yueshen, Bart Zhou
作者单位：Tinbergen Institute; Vrije Universiteit Amsterdam; INSEAD Business School
摘要：A breakdown of cross-market arbitrage activity could make markets more fragile and result in price crashes. We provide suggestive evidence for this novel channel based on a high-frequency analysis of the most salient crash in recent history: The Flash Crash. We further show that such an event can be extremely costly for a large seller trading in a particular venue as the seller effectively relies on local liquidity supply only. These findings highlight the vulnerability of today's highly fragm...
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作者：Ghamami, Samim; Glasserman, Paul
作者单位：University of California System; University of California Berkeley; Columbia University
摘要：We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio's risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer faces risk-based collateral and capital costs for each portfolio, and it seeks to minimize total margin...
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作者：Krishnan, Karthik; Wang, Pinshuo
作者单位：Northeastern University; State University System of Florida; University of South Florida
摘要：We find that student debt is negatively related to the propensity to start a firm, particularly larger and more successful ventures. An exogenous change due to the Higher Education Amendments of 1998, which made student debt completely nondischargeable through personal bankruptcy, reduced the likelihood of entrepreneurship by student loan borrowers that were already in four-year college at the time of this regulation. Moreover, an exogenous shock to the level of student debt due to the Higher ...
