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A Theory of Large Fluctuations in Stock Market Activity

  • Published:2003 Issue: Volume: Page:
  • ISSN:1556-5068
  • Container-title:SSRN Electronic Journal
  • language:en
  • Short-container-title:SSRN Journal

Author:

Gabaix Xavier,Gopikrishnan Parameswaran,Plerou Vasiliki,Stanley H. Eugene Eugene

Publisher

Elsevier BV

Reference131 articles.

1. Bubbles and Crashes;Dilip Abreu;Econometrica, VXXI,2003

2. Asset Pricing with Liquidity Risk;Viral Acharya;Journal of Financial Economics,2005

3. Optimal Execution of Portfolio Transactions;Robert Almgren;Journal of Risk,2000

4. The Distribution of Realized Stock Return Volatility;Torben G Andersen;Journal of Financial Economics,2001

5. Asset Pricing Under Endogenous Expectations in an Artificial Stock Market;W Arthur;The Economy as an Evolving Complex System II,1997

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