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Creators/Authors contains: "Harris, Jeffrey H."

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  1. ; ; (, Journal of Financial Markets)
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  2. ; ; (, Finance and Economics Discussion Series)
    Network analysis has demonstrated that interconnectedness among market participants results in spillovers, amplifies or absorbs shocks, and creates other nonlinear effects that ultimately affect market health. In this paper, we propose a new directed network construct, the liquidity network, to capture the urgency to trade by connecting the initiating party in a trade to the passive party. Alongside the conventional trading network connecting sellers to buyers, we show both network types complement each other: Liquidity networks reveal valuable information, particularly when information asymmetry in the market is high, and provide a more comprehensive characterization of interconnectivity in the overnight-lending market. 
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  3. ; ; ; (, Journal of Financial Economics)
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  4. ; ; (, Finance and Economics Discussion Series)
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