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Title:On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making PDF Logo
Authors:Nöldeke, Georg
Tröger, Thomas
Issue Date:2004
Series/Report no.:Bonn econ discussion papers 2004,19
Abstract: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.
Subjects:Market Microstructure
Market Making
Linear Equilibria
JEL:D82
G14
Document Type:Working Paper
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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