The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic financial Market

João Amaro de Matos () and Joao Sobral do Rosario

FEUNL Working Paper Series from Universidade Nova de Lisboa, Faculdade de Economia

Abstract: This paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of nancial assets. The model is derived introducing an intermediary and inventory costs in the setting of equilibrium financial markets as described by Platen and Rebolledo (1996)

Keywords: Bid-ask spread; intermediary; dynamic equilibrium (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2000
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Persistent link: http://EconPapers.repec.org/RePEc:unl:unlfep:wp389

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