Over-the-counter market models with several assets
AbstractWe study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which investors trade with each other at these steady states. Finally, we study the stability of the solutions of these ODE's.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1308.2957.
Date of creation: Aug 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-23 (All new papers)
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- Dmitrios Vayanos, 2004.
"Search and Endogenous Concentration of Liquidity in Asset Markets,"
Econometric Society 2004 North American Winter Meetings
647, Econometric Society.
- Vayanos, Dimitri & Wang, Tan, 2007. "Search and endogenous concentration of liquidity in asset markets," Journal of Economic Theory, Elsevier, vol. 136(1), pages 66-104, September.
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