Transactional Risk, Market Crashes, and the Role of Circuit Breakers e-bog
59,77 DKK
(inkl. moms 74,71 DKK)
Whilst the greatest effort has been made to ensure the quality of this text, due to the historical nature of this content, in some rare cases there may be minor issues with legibility. We develop a pair of models that illustrate how imperfections in transactional mechanisms can lead to a market crash. Neither market orders nor limit orders allow traders to condition their demands on the full in...
E-bog
59,77 DKK
Forlag
Forgotten Books
Udgivet
27 november 2019
Genrer
Investment and securities
Sprog
English
Format
pdf
Beskyttelse
LCP
ISBN
9780259688020
Whilst the greatest effort has been made to ensure the quality of this text, due to the historical nature of this content, in some rare cases there may be minor issues with legibility. We develop a pair of models that illustrate how imperfections in transactional mechanisms can lead to a market crash. Neither market orders nor limit orders allow traders to condition their demands on the full information set needed to achieve a Walrasian outcome. When volume shocks are sufficiently large, the deviations from Walrasian prices and allocations are large also. Properly designed and implemented, circuit breakers may help to overcome some of these informational problems, and thereby improve the market's ability to absorb large volume shocks.