Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22896
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dc.contributor.authorNöldeke, Georgen_US
dc.contributor.authorTröger, Thomasen_US
dc.date.accessioned2009-01-29T15:10:48Z-
dc.date.available2009-01-29T15:10:48Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/22896-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aBonn econ discussion papers |x2004,19en_US
dc.subject.jelD82en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordMarket Microstructureen_US
dc.subject.keywordMarket Makingen_US
dc.subject.keywordLinear Equilibriaen_US
dc.titleOn the Existence of Linear Equilibria in the Rochet-Vila Model of Market Makingen_US
dc.typeWorking Paperen_US
dc.identifier.ppn473005794en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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