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You searched for +publisher:"Vanderbilt University" +contributor:("Jacob S. Sagi"). Showing records 1 – 2 of 2 total matches.

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1. Hong, Sunghoon. The Economics of Network Flows.

Degree: PhD, Economics, 2012, Vanderbilt University

My research on the economics of network flows is motivated by (i) the possibility of bads being carried through networks, together with goods, (ii) the analysis of strategic behavior of agents in networks, and (iii) the experimental testing of theoretical predictions about strategic behavior. Chapter 2 examines a model with two adversarial players. One player can carry bads through a network while the other player can inspect the network to stop the transport of bads. In equilibrium each player chooses a mixed strategy. Chapter 3 analyzes a model with two non-adversarial players. One player can act to mitigate bads at a source while the other player can act to reduce bads through a network. If one player acts, both players benefit from the decrease in bads. Each player pays for the cost of action. Thus, players may try to free-ride on the other's action. Chapter 4 studies a simple model for empirical and experimental analysis. This model exhibits the power law of conflict, which is an empirical regularity that the frequency of conflict events, such as murders, insurgencies, and wars, scales as an inverse power of the severity of the events. The power law is a good fit to the Iraqi data in Global Terrorism Database. Advisors/Committee Members: Myrna H. Wooders (chair), John P. Conley (committee member), John A. Weymark (committee member), Jacob S. Sagi (committee member).

Subjects/Keywords: bottlenecks; network goods; network bads; network flows; interdiction; efficiency; equilibrium

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APA (6th Edition):

Hong, S. (2012). The Economics of Network Flows. (Doctoral Dissertation). Vanderbilt University. Retrieved from http://etd.library.vanderbilt.edu/available/etd-04172012-111943/ ;

Chicago Manual of Style (16th Edition):

Hong, Sunghoon. “The Economics of Network Flows.” 2012. Doctoral Dissertation, Vanderbilt University. Accessed October 20, 2019. http://etd.library.vanderbilt.edu/available/etd-04172012-111943/ ;.

MLA Handbook (7th Edition):

Hong, Sunghoon. “The Economics of Network Flows.” 2012. Web. 20 Oct 2019.

Vancouver:

Hong S. The Economics of Network Flows. [Internet] [Doctoral dissertation]. Vanderbilt University; 2012. [cited 2019 Oct 20]. Available from: http://etd.library.vanderbilt.edu/available/etd-04172012-111943/ ;.

Council of Science Editors:

Hong S. The Economics of Network Flows. [Doctoral Dissertation]. Vanderbilt University; 2012. Available from: http://etd.library.vanderbilt.edu/available/etd-04172012-111943/ ;

2. Kim, Daejin. Three Essays On Market Microstructure.

Degree: PhD, Management, 2014, Vanderbilt University

My dissertation consists of three essays. The first essay develops a price impact function when competitive market makers are risk-averse. The essay proves that price change is linear both in current and lagged order flows. The coefficient of the current order flow measures price impact while the coefficient of the lagged order flow represents price reversal. The price impact reflects both informational and inventory costs while the price reversal reflects only an inventory cost. The first order serial covariance is shown to be negative and be proportional to both price impact and price reversal coefficients. The second essay analyzes the risk of merger arbitrage strategy. The information components in the bid-ask spreads of both stocks decrease after the announcement. The inventory components for the target stocks significantly increase after the announcement. The Granger-causality tests show that the unexpected shocks of the bid-ask spreads cause the increase in the merger arbitrage spread. The informational share of each stock after the announcement is similar to the ratio of the market value of each stock to combined firm values prior to the announcement. The third essay investigates the effect of liquidity on the exchange-traded-funds. Both illiquidity and ETF tracking errors are positively related and are persistent. The empirical tests show that illiquid ETFs tend to be more sensitive to underlying index returns or market liquidity. There also exists a positive liquidity premium in the US ETF markets. Finally, the ETF return variance can be decomposed into the NAV return variance plus additional terms associated with no trading probability. Empirical tests show that ETF variances are typically larger than NAV variances when ETFs are not traded actively in the market. Advisors/Committee Members: Hans R. Stoll (chair), Nicolas P.B. Bollen (committee member), Robert E. Whaley (committee member), Jacob S. Sagi (committee member), Mototsugu Shintani (committee member).

Subjects/Keywords: Exchange-traded-funds; Bid-ask spread decomposition model; Price discovery; Merger Arbitrage; Price reversal; Mergers and Acquisitions; Price impact; Market Microstructure; Liquidity; Liquidity premium; Tracking errors; Volatility

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kim, D. (2014). Three Essays On Market Microstructure. (Doctoral Dissertation). Vanderbilt University. Retrieved from http://etd.library.vanderbilt.edu/available/etd-03242014-180122/ ;

Chicago Manual of Style (16th Edition):

Kim, Daejin. “Three Essays On Market Microstructure.” 2014. Doctoral Dissertation, Vanderbilt University. Accessed October 20, 2019. http://etd.library.vanderbilt.edu/available/etd-03242014-180122/ ;.

MLA Handbook (7th Edition):

Kim, Daejin. “Three Essays On Market Microstructure.” 2014. Web. 20 Oct 2019.

Vancouver:

Kim D. Three Essays On Market Microstructure. [Internet] [Doctoral dissertation]. Vanderbilt University; 2014. [cited 2019 Oct 20]. Available from: http://etd.library.vanderbilt.edu/available/etd-03242014-180122/ ;.

Council of Science Editors:

Kim D. Three Essays On Market Microstructure. [Doctoral Dissertation]. Vanderbilt University; 2014. Available from: http://etd.library.vanderbilt.edu/available/etd-03242014-180122/ ;

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