کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069543 | 1476990 | 2015 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The optimal pricing of a market maker in a heterogeneous agent economy
ترجمه فارسی عنوان
قیمت گذاری مطلوب یک سازنده بازار در یک اقتصاد عامل ناهمگون
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper extends some classical models, built upon the representative-agent and Walrasian market-clearing mechanism, into one characterized by a market-maker trading mechanism with investors having heterogeneous beliefs regarding the likely future payoff of a risky security. We show the optimal determination of the bid and ask prices and resultant trading volume. The endogenously-determined spread and volume are increasing with the degree of the heterogeneity of investors' beliefs. We analyze the market marker's risk exposure based on his inventory, under the condition in which he is fully informed of the investors' beliefs, and under the condition in which he is not.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 14, August 2015, Pages 178-187
Journal: Finance Research Letters - Volume 14, August 2015, Pages 178-187
نویسندگان
Bin Guo, Wei Zhang, Shu-Heng Chen, Yongjie Zhang,