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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1308.2957.
Date of creation: Aug 2013
Date of revision:
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-23 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Dmitrios Vayanos, 2004. "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings 647, Econometric Society.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.