30 citations
- Center for Economic Research and Graduate Education – Economics InstituteCZ2 papers
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econ.EM2026★ 5 cited
Do designated market makers provide liquidity during downward extreme price movements?
Mario Bellia, Kim Christensen, Aleksey Kolokolov +2
We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either…
econ.EM2018★ 2 cited
Limit Theorems for Factor Models
Stanislav Anatolyev, Anna Mikusheva
The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed…