The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in Financial Markets
نویسندگان
چکیده
In this paper an endogeneous model for the dynamics of the bid-ask spread is derived in the setting of equilibrium ...nancial markets as described by Platen and Rebolledo (1996). An intermediary is hereby added to the original model. The market of Platen and Rebolledo is split into two di¤erent markets: one in which the intermediary is the demand side facing the supply of economic agents, with one equilibrium price, Lt, and a second market in which the intermediary is in the side of the o¤er facing the demand of the other economic agents, with a di¤erent equilibrium price, Lt . Given the dynamics of the agents’ demand and o¤er curves, the problem of the intermediary is stated as a maximization pro...t ...nding the optimal traded quantity qt that maximizes qt[Lt ¡ Lt ].
منابع مشابه
The Use Of Financial Ratios as Measures Of Risk In The Determination Of The Bid- Ask Spread In Tehran Stock Exchange
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