|
EconStor >
Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22896
|
| | |
| Title: | | On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making  |
| 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
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/22896
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|