Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices

Alain B\'elanger, Ndoun\'e Ndoun\'e and Roland Pongou

Papers from arXiv.org

Abstract: We study a generalization of the model of a dark market due to Duffie-G\^arleanu- Pedersen [6]. Our market is segmented and involves multiple assets. We show that this market has a unique asymptotically stable equilibrium. In order to establish this result, we use a novel approach inspired by a theory due to McKenzie and Hawkins-Simon. Moreover, we obtain a closed form solution for the price of each asset at which investors trade at equilibrium. We conduct a comparative statics analysis which shows, among other sensitivities, how equilibrium prices respond to the level of interactions between investors.

Date: 2018-06
New Economics Papers: this item is included in nep-gth
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1806.01924

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