3 papers
econ.GN2025
Central Bank Digital Currency, Flight-to-Quality, and Bank-Runs in an Agent-Based Model
Emilio Barucci, Andrea Gurgone, Giulia Iori +1
We analyse financial stability and welfare impacts associated with the introduction of a Central Bank Digital Currency (CBDC) in a macroeconomic agent-based model. The model consid…
q-fin.MF2025
Shortermism and excessive risk taking in optimal execution with a target performance
Emilio Barucci, Yuheng Lan
We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulat…
q-fin.TR2025
Market Making with Fads, Informed, and Uninformed Traders
Emilio Barucci, Adrien Mathieu, Leandro Sánchez-Betancourt
We characterise the solution to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibi…