On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making
Georg Nöldeke () and
Authors registered in the RePEc Author Service: Thomas Troeger
No 19/2004, Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE)
This paper derives necessary and sufficient conditions for the existence of linear equilibria in the Rochet-Vila model of market making. In contrast to most previous work on the existence of linear equilibria in models of market making, we do not impose independence of the underlying random variables. For distributions that are determined by their moments we show that a linear equilibrium exists if and only if the joint distribution of noise trade and asset payoff is elliptical.
Keywords: Market Microstructure; Market Making; Linear Equilibria (search for similar items in EconPapers)
JEL-codes: D82 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bonedp:192004
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