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Recent Submissions

  • ESSAYS ON MARKET MICROSTRUCTURE 

    BAE, KYOUNG HUN (2015)
    This dissertation includes two essays on topics related to market microstructure. In the first essay, we analyze algorithmic trading in the Korean Index Futures market. We document that short-term traders consistently ...
  • Short-Term Funding Markets and Systemic Risk 

    Munyan, Benjamin Kendrick (2015)
    This dissertation presents two essays to study both theoretically and empirically the interaction of short-term funding and the banking system and its effects on systemic risk. Before its collapse in September 2008, ...
  • Essays on Asset Pricing and Financial Stability 

    Lee, Jeongmin (2014)
    My two-essay dissertation revolves around understanding the financial crisis of 2008. First I focus on the repo market, a major funding source of the shadow banking system, and show the repo market can create and amplify ...
  • ESSAYS ON MARKET MICROSTRUCTURE AND HIGH FREQUENCY TRADING 

    Li, Wei (2014)
    This dissertation includes two chapters on topics related to market microstruc- ture and high frequency trading. In the first chapter, I explore the effects of speed differences among front-running high frequency traders ...
  • STRATEGIC DEFAULT, RENEGOTIATION, AND RECOURSE IN RESIDENTIAL MORTGAGE CONTRACTS 

    Sinha, Anshuman (2013)
    In this article we model strategic default and renegotiation in residential mortgage contracts. In particular, we study how recourse affects mortgage rates and default. We find that in the presence of recourse, default ...

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