M Weretka - Journal of Economic Theory, 2011 - Elsevier
In this paper we develop a framework to study markets with heterogeneous atomic traders.
The competitive model is augmented as we provide traders with correct beliefs about their
price impacts to define equilibrium with endogenously determined market power and ...
M Rostek… - Report, University, 2010 - cireq.umontreal.ca
Abstract This paper studies information aggregation in markets for perfectly divisible goods
with an arbitrary, possibly small, number of strategic traders. When trader valuations are
heterogeneously correlated, a trade# off in information aggregation between small and ...
A Carvajal… - Economic Theory, 2007 - Springer
Abstract We examine how non-competitiveness in financial markets affects the choice of
asset portfolios and the determination of equilibrium prices. In our model, potential arbitrage
is conducted by a few highly specialized institutional investors who recognize and ...
[CITATION] Discriminatory or uniform? Design of divisible good auctions
M Rostek, M Weretka… - 2010 - … . Bilateral trade with the sealed bid k- …
M Weretka - 2009 - ssc.wisc.edu
Abstract In this paper, we study interactions among large agents trading in anonymous
markets. In such markets, traders have no information about other tradershpayoffs, identities
or even submitted orders. To trade optimally, each trader estimates his own price impact ...
M Rostek, M Weretka… - 2010 - ssc.wisc.edu
Abstract Uniform price and discriminatory price auctions are the two most common formats
for selling divisible goods. This paper establishes the revenue rankings for these formats
and the Vickrey auction in markets with strategic buyers. Our analysis underscores the key ...
MJ Rostek… - 2007 - warwick.ac.uk
Abstract Extensive empirical research has shown that large institutional investors have a
signif& icant impact on prices and mitigate its adverse effects through their trading strategies.
We develop a dynamic model with multiple assets, in which the key innovation is that ...
M Weretka - 2007 - gradworks.umi.com
Abstract: Empirical evidence demonstrates that large institutional investors have significant
price impact in financial markets. The existing asset pricing models, however, assume that
all traders are price takers. The goal of my dissertation is to develop a general equilibrium ...
M Weretka - ku.edu
Abstract In this paper we develop a model of asset pricing for thin financial markets—
markets in which the number of institutional investors constantly monitoring the price and
providing liquidity is small. Extensive empirical evidence shows that in such markets ...
AM Carvajal, M Rostek… - 2010 - wrap.warwick.ac.uk
This paper examines the optimal bundling strategies of a multiproduct monopoly in markets
in which a seller cannot monitor and thereby restrict the purchases of buyers to a single
bundle, while buyers have resale opportunities. In such markets, the standard mechanism ...
M Rostek… - Econometrica, 2012 - Wiley Online Library
This paper investigates the effects of market size on the ability of price to aggregate traders'
private information. To account for heterogeneity in correlation of trader values, a Gaussian
model of double auction is introduced that departs from the standard information structure ...
A Carvajal, M Rostek… - 2011 - ssc.wisc.edu
Abstract This paper examines the incentives offered by frictionless markets for innovation of
assetbacked securities. Assuming homogeneous preferences across investors with
heterogeneous risk-sharing needs and allowing for short selling of securities, we ...
M Rostek… - 2011 - ssc.wisc.edu
Abstract Does encouraging trader participation enhance market competitiveness? When
trader preferences are interdependent, markets do not necessarily become more
competitive as the number of traders grows and traders need not become price takers in ...
M Rostek… - 2010 - ssc.wisc.edu
Abstract Does encouraging trader participation enhance market competitiveness? When
trader preferences are interdependent, markets do not necessarily become more com#
petitive as the number of traders grows and traders need not become price takers in large ...
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