Large Bets and Stock Market Crashes

DOI10.1093/ROF/RFAD008MaRDI QIDQ6119983zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

crashesinvarianceliquiditymarket depthmarket microstructureprice impactsystemic risk

Mathematics Subject Classification ID

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

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