Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices

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Tác giả: Alain Bélanger, Ndouné Ndouné, Roland Pongou

Ngôn ngữ: eng

Ký hiệu phân loại: 338.13 Financial aspects

Thông tin xuất bản: 2018

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Bộ sưu tập: Metadata

ID: 161988

We study a generalization of the model of a dark market due to Duffie-G\^arleanu- Pedersen [6]. Our market is segmented and involves multiple assets. We show that this market has a unique asymptotically stable equilibrium. In order to establish this result, we use a novel approach inspired by a theory due to McKenzie and Hawkins-Simon. Moreover, we obtain a closed form solution for the price of each asset at which investors trade at equilibrium. We conduct a comparative statics analysis which shows, among other sensitivities, how equilibrium prices respond to the level of interactions between investors.
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