Over-the-counter market models with several assets

Alain B\'elanger, Gaston Giroux and Miguel Moisan-Poisson

Papers from arXiv.org

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.

Date: 2013-08
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