Details about Anna Obizhaeva

Access statistics for papers by Anna Obizhaeva.

Last updated 2026-03-21. Update your information in the RePEc Author Service.

Short-id: pob57

Working Papers

2020

1. Adverse Selection and Liquidity: From Theory to Practice
   Working Papers, New Economic School (NES)
2. Large Bets and Stock Market Crashes
   Working Papers, New Economic School (NES) View citations (2)
   Also in Working Papers, New Economic School (NES) (2016) View citations (6)
   Working Papers, Center for Economic and Financial Research (CEFIR) (2016) View citations (6)
3. Market Microstructure Invariance: A Dynamic Equilibrium Model
   Working Papers, New Economic School (NES) View citations (2)
   Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2016) View citations (1)
   Working Papers, New Economic School (NES) (2016) View citations (2)

2017

4. Dimensional Analysis and Market Microstructure Invariance
   Working Papers, New Economic School (NES) View citations (7)
   Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2017) View citations (7)
5. News Articles and Equity Trading
   Working Papers, New Economic School (NES) View citations (1)
   Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2017) View citations (1)

2016

6. Beliefs Aggregation and Return Predictability
   Working Papers, Center for Economic and Financial Research (CEFIR)
   Also in Working Papers, New Economic School (NES) (2016)
7. Intraday Trading Invariance in the E-mini S&P 500 Futures Market
   Working Papers, New Economic School (NES) View citations (14)
   Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2016) View citations (14)
8. Invariance of buy-sell switching points
   Working Papers, Center for Economic and Financial Research (CEFIR)
   Also in Working Papers, New Economic School (NES) (2016)
9. Microstructure Invariance in U.S. Stock Market Trades
   Working Papers, Center for Economic and Financial Research (CEFIR)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2016)
   Working Papers, New Economic School (NES) (2016) View citations (1)
10. Smooth Trading with Overconfidence and Market Power
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (3)
    Also in Working Papers, New Economic School (NES) (2016) View citations (2)
    See also Journal Article Smooth Trading with Overconfidence and Market Power, The Review of Economic Studies, Review of Economic Studies Ltd (2018) View citations (24) (2018)

2009

11. Portfolio Transitions and Stock Price Dynamics
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (2)

2007

12. Liquidity Estimates and Selection Bias
    Working Papers, Center for Economic and Financial Research (CEFIR)

2005

13. Optimal Trading Strategy and Supply/Demand Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (36)
    See also Journal Article Optimal trading strategy and supply/demand dynamics, Journal of Financial Markets, Elsevier (2013) View citations (287) (2013)

Journal Articles

2018

1. Smooth Trading with Overconfidence and Market Power
   The Review of Economic Studies, 2018, 85, (1), 611-662 View citations (24)
   See also Working Paper Smooth Trading with Overconfidence and Market Power, Working Papers (2016) View citations (3) (2016)

2016

2. Market Microstructure Invariance: Empirical Hypotheses
   Econometrica, 2016, 84, 1345-1404 View citations (61)

2013

3. Optimal trading strategy and supply/demand dynamics
   Journal of Financial Markets, 2013, 16, (1), 1-32 View citations (287)
   See also Working Paper Optimal Trading Strategy and Supply/Demand Dynamics, NBER Working Papers (2005) View citations (36) (2005)