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Formation des prix sur les marchés de contrepartie. Une synthèse de la littérature récente

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  • Bruno Biais

Abstract

[eng] Price formation in dealer markets : a synthesis of recent litterature. . Dealers provide liquidity to the market by standing ready to buy at their bid priee and sell at their ask priee. By doing so they incur 3 types of costs : (i) order handling costs (ii) the cost of holding undesired, imperfectly diversified, positions (iii) the cost of trading with insiders. The difference between the bid and the ask priees (the bid ask spread) is a reward for these costs. This paper is a review of models devoted to the analysis of the second type of cost. If dealers are risk averse, their private valuations of the asset differ according to their inventory positions. The larger the position the greater (smaller) the willingness to sell (buy). First the pricing policy of a monopolistic market maker is analyzed. It is shown that, since priees are decreasing in inventory, the position is mean reverting. Then, interdealer competition is analyzed as a form of monopolistic competition. Finally, the impact of the bid-ask spread on the dynamics of transaction priees is studied. It is shown that the bid-ask spread may induce either positive or negative returns autocorrelation . [fre] Formation des prix sur les marchés de contrepartie. Une synthèse de la littérature récente. . Cet article présente une synthèse des modèles du « spread ». L'accent est mis sur le paradigme de la position. Selon ce courant de littérature, les caractéristiques majeures de la fourchette de prix sont les suivantes :. - les prix cotés par un agent sont décroissants par rapport à sa position ;. - une vente succède (en moyenne) à un achat (inventory control).. Certaines implications de ce paradigme sont étudiées.. - On montre que la concurrence entre teneurs de marché est une forme de concurrence monopolistique. En effet, des positions différentes sont analogues pour les contrepartistes, à des coûts différents pour des industriels. L'information dont disposent les teneurs de marché quant aux positions de leurs concurrents. est, dès lors, essentielle. On montre que, selon que le marché est transparent ou non, la concurrence entre teneurs de marché est analogue à une enchère anglaise ou hollandaise.. - On analyse aussi l'autocorrélation des rendements. Alors que l'existence de coûts de traitement des ordres et de phénomènes d'anti-sélection a un effet simple sur la dynamique des changements de prix, l'effet position a des implications ambiguës.

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  • Bruno Biais, 1990. "Formation des prix sur les marchés de contrepartie. Une synthèse de la littérature récente," Revue Économique, Programme National Persée, vol. 41(5), pages 755-788.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_5_409237
    DOI: 10.3406/reco.1990.409237
    Note: DOI:10.3406/reco.1990.409237
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