Anna Obizhaeva chaired one of the EFA's sessions on market microstructure. She also presented her paper "Market microstructure invariance: A dynamic equilibrium model" coauthored with Albert S. Kyle. In the context of theoretical model of trading with adverse selection and information production, she showed how measures of liquidity depend on trading volume and returns volatility. She also talked about the link between market depth, market resiliency, pricing accuracy, and returns volatility.
Sergei Kovbasyuk discussed a theoretical paper on how the existence of investors holding large equity blocks may affect firms in financial distress; better informed blockholders may either speed up defaults or slow them down depending on the severity of distress.
The highlight of the conference was the keynote address on financial crisis by Prof. Andrei Shleifer from Harvard University.
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NES professors took part in EFA Meetings 2019
Tue, 1 October 2019