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Computing posterior signals and endogenous parameters in a dealer trading network

Christos Giannikos () and Richmond Kyei-Fordjour

Economics Letters, 2021, vol. 207, issue C

Abstract: A numerical procedure to obtain posterior valuation signals in a theoretical equilibrium of an interdealer trading network is derived by harnessing a transformation of the adjacency matrix of the network. Applying transaction prices and quantities, the procedure leads to recovery of the endogenous parameters of the network.

Keywords: Adjacency matrix; Posterior; Trading network (search for similar items in EconPapers)
JEL-codes: C1 D53 G14 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.econlet.2021.110000

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