Equilibrium in thin security markets under restricted participation
Michail Anthropelos and
Papers from arXiv.org
We consider a market of financial securities with restricted participation, in which traders may not have access to the trade of all securities. The market is assumed thin: traders may influence the market and strategically trade against their price impacts. We prove existence and uniqueness of the equilibrium even when traders are heterogeneous with respect to their beliefs and risk tolerance. An efficient algorithm is provided to numerically obtain the equilibrium prices and allocations given market's inputs.
Date: 2018-02, Revised 2019-08
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1802.09954 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1802.09954
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().