Institution
Purdue University
Education•West Lafayette, Indiana, United States•
About: Purdue University is a education organization based out in West Lafayette, Indiana, United States. It is known for research contribution in the topics: Population & Heat transfer. The organization has 73219 authors who have published 163563 publications receiving 5775236 citations. The organization is also known as: Purdue & Purdue-West Lafayette.
Papers published on a yearly basis
Papers
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TL;DR: In this paper, the authors investigated the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) information share approach, and found that option market price discovery is related to trading volume and spreads in both markets, and stock volatility.
Abstract: We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck’s (1995) “information share” approach. Based on five years of stock and options data for 60 firms, we estimate the option market’s contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options. INVESTORS WHO HAVE ACCESS to private information can choose to trade in the stock market or in the options market. Given the high leverage achievable with options and the built-in downside protection, one might think the options market would be an ideal venue for informed trading. If informed traders do trade in the options market, we would expect to see price discovery in the options market. That is, we would expect at least some new information about the stock price to be reflected in option prices first. Establishing that price discovery straddles both the stock and options markets is important for several reasons. In a frictionless, dynamically complete market, options would be redundant securities. This paper contributes to the understanding of why options are relevant in actual markets, by providing the first unambiguous evidence that stock option trading contributes to price discovery in the underlying stock market. Further, we document that the level
740 citations
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TL;DR: This paper found that medium-size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume, consistent with the predictions of Barclay and Warner's (1993) stealth-trading hypothesis.
740 citations
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TL;DR: In this paper, numerical simulations are used to guide the development of a simple analytical theory for ballistic field-effect transistors, and the model reduces to Natori's theory of the ballistic MOSFET.
Abstract: Numerical simulations are used to guide the development of a simple analytical theory for ballistic field-effect transistors. When two-dimensional (2-D) electrostatic effects are small (and when the insulator capacitance is much less than the semiconductor (quantum) capacitance), the model reduces to Natori's theory of the ballistic MOSFET. The model also treats 2-D electrostatics and the quantum capacitance limit where the semiconductor quantum capacitance is much less than the insulator capacitance. This new model provides insights into the performance of MOSFETs near the scaling limit and a unified framework for assessing and comparing a variety of novel transistors.
740 citations
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TL;DR: For example, the authors argued that technological changes (shifts in the production function) have been far more important than has the mere growth in the supplies of capital and labor inputs, as conventionally measured (movement along an existing production function).
Abstract: Technological change has come to absorb an increasing share of the attention of the economist in recent years. Several attempts have been made to assess the quantitative importance of technological change, as opposed to increases in factor supplies, in accounting for the secular rise in per capita incomes in the United States. It appears, in all these studies, that technological changes (shifts in the production function) have been far more important than has the mere growth in the supplies of capital and labor inputs, as conventionally measured (movement along an existing production function). In a sense, this should be cause for deep concern, since the comparative neglect of the process of technological change (with the major exceptions until very recent years, of the works of Marx, Schumpeter, and Usher) suggests a serious malallocation of our intellectual resources. If the studies of such people as Abramovitz and Solow are even approximately correct with respect to orders of magnitude, then the contribution of technological change to rising per capita incomes absolutely dwarfs the contribution from a rising but qualitatively unchanging stock of capital. It would appear that we have indeed been playing Hamlet without the Prince.
739 citations
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TL;DR: In this paper, the first price all-pay auction is used to model rent seeking, where asymmetric equilibria imply higher expected revenues than the symmetric equilibrium, and the high bidder receives the item.
Abstract: In a (first price) all-pay auction, bidders simultaneously submit bids for an item. All players forfeit their bids, and the high bidder receives the item. This auction is widelly used in economics to model rent seeking, RD asymmetric equilibria imply higher expected revenues than the symmetric Equilibrium.
738 citations
Authors
Showing all 73693 results
Name | H-index | Papers | Citations |
---|---|---|---|
Yi Cui | 220 | 1015 | 199725 |
Yi Chen | 217 | 4342 | 293080 |
David Miller | 203 | 2573 | 204840 |
Hongjie Dai | 197 | 570 | 182579 |
Chris Sander | 178 | 713 | 233287 |
Richard A. Gibbs | 172 | 889 | 249708 |
Richard H. Friend | 169 | 1182 | 140032 |
Charles M. Lieber | 165 | 521 | 132811 |
Jian-Kang Zhu | 161 | 550 | 105551 |
David W. Johnson | 160 | 2714 | 140778 |
Robert Stone | 160 | 1756 | 167901 |
Tobin J. Marks | 159 | 1621 | 111604 |
Joseph Wang | 158 | 1282 | 98799 |
Ed Diener | 153 | 401 | 186491 |
Wei Zheng | 151 | 1929 | 120209 |