Equilibrium in thin security markets under restricted participation

19 Aug 2019  ·  Anthropelos Michail, Kardaras Constantinos ·

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. read more

PDF Abstract
No code implementations yet. Submit your code now



  Add Datasets introduced or used in this paper

Results from the Paper

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.


No methods listed for this paper. Add relevant methods here