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We attempt to reconcile Gabaix and Koijens (GK) recent Inelastic Market Hypothesis with the order-driven view of markets that emerged within the microstructure literature in the past 20 years. We review the most salient empirical facts and arguments that give credence to the idea that market price fluctuations are mostly due to order flow, whether informed or non-informed. We show that the Latent Liquidity Theory of price impact makes a precise prediction for GKs multiplier $M$, which measures by how many dollars, on average, the market value of a company goes up if one buys one dollar worth of its stocks. Our central result is that $M$ increases with the volatility of the stock and decreases with the fraction of the market cap. that is traded daily. We discuss several empirical results suggesting that the lions share of volatility is due to trading activity.
Which and how many attributes are relevant for the sorting of agents in a matching market? This paper addresses these questions by constructing indices of mutual attractiveness that aggregate information about agents attributes. The first k indices f
We propose a general methodology to measure labour market dynamics, inspired by the search and matching framework, based on the estimate of the transition rates between labour market states. We show how to estimate instantaneous transition rates star
In this paper we develop a novel method of wholesale electricity market modeling. Our optimization-based model decomposes wholesale supply and demand curves into buy and sell orders of individual market participants. In doing so, the model detects an
When facing threats from automation, a worker residing in a large Chinese city might not be as lucky as a worker in a large U.S. city, depending on the type of large city in which one resides. Empirical studies found that large U.S. cities exhibit re
The paper is a collection of knowledge regarding the phenomenon of climate change, competitiveness, and literature linking the two phenomena to agricultural market competitiveness. The objective is to investigate the peer reviewed and grey literature