Equilibrium Price Formation with a Major Player and its Mean Field Limit

 0 Người đánh giá. Xếp hạng trung bình 0

Tác giả: Masaaki Fujii, Akihiko Takahashi

Ngôn ngữ: eng

Ký hiệu phân loại: 338.8 Combinations

Thông tin xuất bản: 2021

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 166327

Comment: revised. forthcoming in ESAIM: Control, Optimization and Calculus of VariationsIn this article, we consider the problem of equilibrium price formation in an incomplete securities market consisting of one major financial firm and a large number of minor firms. They carry out continuous trading via the securities exchange to minimize their cost while facing idiosyncratic and common noises as well as stochastic order flows from their individual clients. The equilibrium price process that balances demand and supply of the securities, including the functional form of the price impact for the major firm, is derived endogenously both in the market of finite population size and in the corresponding mean field limit.
Tạo bộ sưu tập với mã QR

THƯ VIỆN - TRƯỜNG ĐẠI HỌC CÔNG NGHỆ TP.HCM

ĐT: (028) 36225755 | Email: tt.thuvien@hutech.edu.vn

Copyright @2024 THƯ VIỆN HUTECH