Chapter 14: Latent Factor Models
Inelastic Markets and Flow-Driven Prices advanced
Prices move not only because beliefs about cash flows change, but also because somebody has to absorb somebody else's trade.
Prices move not only because beliefs about cash flows change, but also because somebody has to absorb somebody else's trade.
Register to Read
Sign up for a free account to access all 112 primer topics.
Create Free AccountAlready have an account? Sign in
References
The inelastic market hypothesis: a microstructural interpretation
Jean-Philippe Bouchaud
(2022)
— Quantitative Finance
Betting against beta
Andrea Frazzini, Lasse Heje Pedersen
(2014)
— Journal of Financial Economics
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Olivier Ledoit, Michael Wolf
(2003)
— Journal of Empirical Finance
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
Xavier Gabaix, Ralph S. J. Koijen
(2021)
Inference on Treatment Effects After Selection Amongst High-Dimensional Controls
Alexandre Belloni, Victor Chernozhukov, Christian Hansen
(2012)
GRU-ODE-Bayes: Continuous modeling of sporadically-observed time series
Edward De Brouwer, Jaak Simm, Adam Arany, Yves Moreau
(2019)