Now showing items 1-2 of 2

    • The Impact of Large Orders in Electronic Markets 

      Murgia M; Gottardo P; Bosetti L; Pinna A (2014)
      This paper uses order-level data of all traders of the Italian stock exchange Borsa Italiana (BI) to resolve three issues that remained unsettled in the extant microstructure literature: the interaction between the exchange ...
    • Indirect Contagion in an Originate-to-Distribute Banking Model 

      Pinna A (2014)
      In a model of Originate-To-Distribute (OTD) banking, I show that contagion may spread before any preference shock, fire sale, or change in haircuts takes place. The drivers of contagion are opaqueness of collateral and ...