1. Introduction In this post, I replicate the main results from Glosten and Milgrom (1985) using the setup outlined in Back and Baruch (2003). I begin in Section $2$ by laying out the continuous time asset pricing framework. I consider the behavior … [Continue reading]
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1. Introduction In this post, I compute industry level summary statistics the CRSP monthly file using $2$ different industry classification schemes: Fama and French (1988) Moskowitz and Grinblatt (1999) All of the code for the results below … [Continue reading]
1. Introduction In this note, I outline the main results in Scale Invariance, Bounded Rationality and Non-Equilibrium Economics (WP, 2009) by Sam Vazquez for use in a 5min presentation in Prof. Sargent's reading group. This paper presents an … [Continue reading]
1. Introduction In this note, I outline the main results in Variance Risk Premiums (RFS, 2009) by Peter Carr and Liuren Wu for use in a 5min presentation in Prof. Sargent's reading group. Carr and Wu (2009) develops a method for quantifying the … [Continue reading]