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Endogenous market integration, manipulation and limits to arbitrage

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  • Zigrand, Jean-Pierre

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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 42 (2006)
Issue (Month): 3 (June)
Pages: 301-314

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Handle: RePEc:eee:mateco:v:42:y:2006:i:3:p:301-314

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Web page: http://www.elsevier.com/locate/jmateco

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  1. Koutsougeras, Leonidas C., 2003. "Non-Walrasian equilibria and the law of one price," Journal of Economic Theory, Elsevier, Elsevier, vol. 108(1), pages 169-175, January.
  2. Volij, Oscar & Serrano, Roberto, 2000. "Walrasian Allocations Without Price-Taking Behavior," Staff General Research Papers, Iowa State University, Department of Economics 5168, Iowa State University, Department of Economics.
  3. Yosha, Oved, 1997. "Diversification and Competition: Financial Intermediation in a Large Cournot-Walras Economy," Journal of Economic Theory, Elsevier, Elsevier, vol. 75(1), pages 64-88, July.
  4. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
  5. Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(2), pages 287-325.
  6. Douglas Gale, 2010. "Limit theorems for markets with sequential bargaining," Levine's Working Paper Archive 621, David K. Levine.
  7. Gale, Douglas M, 1986. "Bargaining and Competition Part I: Characterization," Econometrica, Econometric Society, Econometric Society, vol. 54(4), pages 785-806, July.
  8. Annette Vissing-Jorgensen, 2002. "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 110(4), pages 825-853, August.
  9. Gale, Douglas M, 1986. "Bargaining and Competition Part II: Existence," Econometrica, Econometric Society, Econometric Society, vol. 54(4), pages 807-18, July.
  10. Shapley, Lloyd S & Shubik, Martin, 1977. "Trade Using One Commodity as a Means of Payment," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 85(5), pages 937-68, October.
  11. Amir, Rabah & Sahi, Siddharta & Shubik, Martin & Yao, Shuntian, 1990. "A strategic market game with complete markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 51(1), pages 126-143, June.
  12. Zigrand, Jean-Pierre, 2004. "A general equilibrium analysis of strategic arbitrage," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 40(8), pages 923-952, December.
  13. McLennan, Andrew & Sonnenschein, Hugo, 1991. "Sequential Bargaining as a Noncooperative Foundation for Walrasian Equilibrium," Econometrica, Econometric Society, Econometric Society, vol. 59(5), pages 1395-1424, September.
  14. Novshek, William & Sonnenschein, Hugo, 1978. "Cournot and Walras equilibrium," Journal of Economic Theory, Elsevier, Elsevier, vol. 19(2), pages 223-266, December.
  15. Annette Vissing-Jorgensen, 2002. "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," NBER Working Papers 8896, National Bureau of Economic Research, Inc.
  16. Townsend, Robert M., 1983. "Theories of intermediated structures," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 18(1), pages 221-272, January.
  17. Arial Rubinstein & Asher Wolinsky, 1985. "Equilibrium in a Market with Sequential Bargaining," Levine's Working Paper Archive 623, David K. Levine.
  18. Roberts, Kevin, 1980. "The limit points of monopolistic competition," Journal of Economic Theory, Elsevier, Elsevier, vol. 22(2), pages 256-278, April.
  19. Bisin, Alberto, 1998. "General Equilibrium with Endogenously Incomplete Financial Markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 82(1), pages 19-45, September.
  20. Makowski, Louis & Ostroy, Joseph M., 1998. "Arbitrage and the Flattening Effect of Large Numbers," Journal of Economic Theory, Elsevier, Elsevier, vol. 78(1), pages 1-31, January.
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Cited by:
  1. Jean-Pierre Zigrand & Rohit Rahi, 2007. "Strategic Financial Innovation in Segmented Markets," FMG Discussion Papers, Financial Markets Group dp595, Financial Markets Group.
  2. Carosi, Laura & Gori, Michele & Villanacci, Antonio, 2009. "Endogenous restricted participation in general financial equilibrium," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 45(12), pages 787-806, December.
  3. Andrés Carvajal & Marek Weretka, 2012. "No-arbitrage, state prices and trade in thin financial markets," Economic Theory, Springer, Springer, vol. 50(1), pages 223-268, May.

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