Equilibrium theory of stock market crashes

DOI10.1016/j.jedc.2015.08.004zbMath1401.91583OpenAlexW3121397555MaRDI QIDQ1657461

Sergey Isaenko

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.08.004

zbMATH Keywords

general equilibriumtransaction costsfinancial crisisliquidity

Mathematics Subject Classification ID

Financial applications of other theories (91G80) General equilibrium theory (91B50)

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Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations, Slow-moving capital and stock returns

Cites Work

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