Stock markets fragmentation, volatility and final investors

DOI10.1007/s10436-017-0305-0zbMath1411.91478MaRDI QIDQ1682602

Cécile Bastidon

Publication date: 30 November 2017

Published in: Annals of Finance (Search for Journal in Brave)

zbMATH Keywords

volatilityfinal investorsimplicit transaction costsintermediary investorsstock markets fragmentation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Statistical estimation of Lévy-type stochastic volatility models
• Should short-term speculators be taxed, or subsidised?
• Robustness of equilibrium in the Kyle model of informed speculation
• Knife-Edge or Plateau: When Do Market Models Tip?
• Competing on Speed
• A Tale of Two Time Scales

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