Stock markets fragmentation, volatility and final investors

DOI10.1007/S10436-017-0305-0zbMATH Open1411.91478MaRDI QIDQ1682602FDOQ1682602

Authors: Cécile Bastidon 

Publication date: 30 November 2017

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

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• Market microstructure and nonlinear dynamics. Keeping financial crisis in context
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zbMATH Keywords

volatilityfinal investorsimplicit transaction costsintermediary investorsstock markets fragmentation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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

Cited In (2)

• Institutional Investors and Stock Market Volatility
• Competing on speed

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