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dc.contributor.authorNöldeke, Georgen
dc.contributor.authorTröger, Thomasen
dc.date.accessioned2009-01-29T15:10:48Z-
dc.date.available2009-01-29T15:10:48Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x19/2004en
dc.subject.jelD82en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordMarket Microstructureen
dc.subject.keywordMarket Makingen
dc.subject.keywordLinear Equilibriaen
dc.titleOn the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making-
dc.typeWorking Paperen
dc.identifier.ppn473005794en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:192004-

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