All Outputs (11)

How and when is dual trading irrelevant? (2011)
Journal Article
Bernhardt, D., & Taub, B. (2011). How and when is dual trading irrelevant?. Journal of Financial Markets, 13(2), 295-320. https://doi.org/10.1016/j.finmar.2010.01.001

Within a general model of speculative trade, we derive the aggregate consequences of dual traders who process retail liquidity trades and trade on their own account. We prove that dual trading reduces total expected speculator profits unless speculat... Read More about How and when is dual trading irrelevant?.

Speculative dynamics (2010)
Journal Article
Bernhardt, D., Seiler, P., & Taub, B. (2010). Speculative dynamics. Economic Theory, 44(1), 1-52. https://doi.org/10.1007/s00199-009-0456-y

We develop a method for solving for equilibrium outcomes in stationary strategic settings in which speculators are informationally large and understand how their actions affect the information content of prices. This allows us to characterize specula... Read More about Speculative dynamics.

Implementing the Iakoubovski-Merino spectral factorization algorithm using state-space methods (2009)
Journal Article
Taub, B. (2009). Implementing the Iakoubovski-Merino spectral factorization algorithm using state-space methods. Systems and Control Letters, 58(6), 445-451. https://doi.org/10.1016/j.sysconle.2009.02.008

The necessity of factoring spectral matrices arises in stationary control settings. The optimality conditions for quadratic optimization of stochastic objectives are Wiener-Hopf equations that cannot be solved algebraically because of the asymmetry i... Read More about Implementing the Iakoubovski-Merino spectral factorization algorithm using state-space methods.

Enclosure (2009)
Journal Article
Taub, B., & Zhao, R. (2009). Enclosure. Economic Inquiry, 47(2), 377-393. https://doi.org/10.1111/j.1465-7295.2007.00119.x

We model the development of property rights as an endogenous process, driven by capital accumulation. Property rights internalize the portion of the return to capital that is otherwise treated as common property. This enclosure further encourages cap... Read More about Enclosure.

Why doesn’t Luxembourg send all its capital to India? (2008)
Journal Article
Taub, B., & Zhao, R. (2008). Why doesn’t Luxembourg send all its capital to India?. Journal of Macroeconomics, 30(4), 1335-1346. https://doi.org/10.1016/j.jmacro.2008.04.002

In the standard neoclassical model, when two countries with disparate capital levels open to trade, the capital-rich country exports capital to the capital-poor country. This hastens growth in the poor country and generates income for the rich countr... Read More about Why doesn’t Luxembourg send all its capital to India?.

Cross-asset speculation in stock markets (2008)
Journal Article
Bernhardt, D., & Taub, B. (2008). Cross-asset speculation in stock markets. Journal of Finance, 63(5), 2385-2427. https://doi.org/10.1111/j.1540-6261.2008.01400.x

In practice, heterogeneously informed speculators combine private information about multiple stocks with information in prices, taking into account how their trades influence the inferences of other speculators via prices. We show how this speculatio... Read More about Cross-asset speculation in stock markets.

The dynamics of strategic information flows in stock markets (2008)
Journal Article
Seiler, P., & Taub, B. (2008). The dynamics of strategic information flows in stock markets. Finance and Stochastics, 12(1), 43-82. https://doi.org/10.1007/s00780-007-0046-4

We model a stock market with multiple stocks in a dynamic setting. Multiple informed traders receive new and heterogeneous information about the stocks in each period and use this information strategically. We characterize the decay rate of the infor... Read More about The dynamics of strategic information flows in stock markets.

Front-running dynamics (2008)
Journal Article
Bernhardt, D., & Taub, B. (2008). Front-running dynamics. Journal of Economic Theory, 138(1), 288-296. https://doi.org/10.1016/j.jet.2007.05.005

We integrate a monopolist dual trader into a dynamic model of speculation. In static settings, [J.-C. Rochet, J.-L. Vila, Insider trading without normality, Rev. Econ. Stud. 61 (1994), 131–152] establish an irrelevance result—expected equilibrium out... Read More about Front-running dynamics.

Kyle v. Kyle (85 vs. 89) (2006)
Journal Article
Bernhardt, D., & Taub., B. (2006). Kyle v. Kyle (85 vs. 89). Annals of Finance, 2(1), 23-38. https://doi.org/10.1007/s10436-005-0031-x

We characterize equilibrium outcomes in a Kyle demand-submission market model of speculative trade. This market design mirrors that used at open on most exchanges, as well as the auction format used for many IPOs. We contrast equilibrium outcomes wit... Read More about Kyle v. Kyle (85 vs. 89).

Stable coalitions in a continuous-time model of risk sharing (2005)
Journal Article
Chade, H., & Taub, B. (2005). Stable coalitions in a continuous-time model of risk sharing. Mathematical Social Sciences, 50(1), 24-38. https://doi.org/10.1016/j.mathsocsci.2005.02.001

In an economy with a continuum of individuals, each individual has a stochastic, continuously evolving endowment process. Individuals are risk-averse and would therefore like to insure their endowment processes. It is feasible to obtain insurance by... Read More about Stable coalitions in a continuous-time model of risk sharing.

Bargaining power in stationary parallelogram games (2004)
Journal Article
Taub, B., & Kibris, O. (2004). Bargaining power in stationary parallelogram games. Review of Economic Design, 8(4), 449-464. https://doi.org/10.1007/s10058-004-0114-6

A stationary variant of the repeated prisoners' dilemma in which the game frontier is a parallelogram is analyzed. By using the probabilistic cheap talk concept of (3), the discount factor becomes fungible, and for a critical value of the discount fa... Read More about Bargaining power in stationary parallelogram games.