26 citations · 26 across the 8 of their papers we have counts for
4 papers · 1 filter
When large trades are not (automatically) news: liquidity tail risk and price discovery
Umut Çetin, Mingwei Lin, Giulia Livieri
We examine how heavy-tailed liquidity demand changes price discovery in a sequential limit order book with asymmetric information. In our setting, liquidity suppliers observe aggre…
Is Kyle's equilibrium model stable?
Umut Cetin, Kasper Larsen
In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading tim…
Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics
Umut Çetin, Henri Waelbroeck
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute…
On pricing rules and optimal strategies in general Kyle-Back models
Umut Çetin, Albina Danilova
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In…