Over-the-counter market models with several assets

2013/08/13 by Alain Bélanger, Bélanger, Alain, Gaston Giroux +3 · 2 citations
Economics, Econometrics and Finance · #Economic theories and models #Financial Markets and Investment Strategies #Stochastic processes and financial applications #msc:34A34 #msc:60G55 #msc:82C31 #q-fin.CP

paper · pdf · doi:10.48550/arxiv.1308.2957

39 pages, 3 figures

arxiv created 2013/08/13 · arxiv updated 2013/08/14

Abstract

We 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.

Cited by

• Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices
• Existence and Uniqueness of a Steady State for an OTC Market with Several Assets

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