Large Bets and Stock Market Crashes

DOI10.1093/ROF/RFAD008OpenAlexW3125366647MaRDI QIDQ6119983FDOQ6119983

Authors: Albert S. Kyle, A. A. Obizhaeva 

Publication date: 20 February 2024

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

Full work available at URL: https://doi.org/10.1093/rof/rfad008

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zbMATH Keywords

invarianceprice impactmarket microstructuresystemic riskliquiditycrashesmarket depth

Mathematics Subject Classification ID

Financial markets (91G15) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cited In (1)

• When is cross impact relevant?

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