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.
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References
The inelastic market hypothesis: a microstructural interpretation
Jean-Philippe Bouchaud
(2022)
— Quantitative Finance
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
Xavier Gabaix, Ralph S. J. Koijen
(2021)