Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices

We study a generalization of the model of a dark market due to Duffie-G\^arleanu- Pedersen [6]. Our market is segmented and involves multiple assets. We show that this market has a unique asymptotically stable equilibrium. In order to establish this result, we use a novel approach inspired by a theory due to McKenzie and Hawkins-Simon. Moreover, we obtain a closed form solution for the price of each asset at which investors trade at equilibrium. We conduct a comparative statics analysis which shows, among other sensitivities, how equilibrium prices respond to the level of interactions between investors.

• Publication year

  2018

• Venue

  arXiv: General Economics

• Publication date

  2018-06-05

• Fields of study

  Mathematics, Economics

• Identifiers
  arXiv 1806.01924
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Mathematical Economics

  2019cited by this paper
• Information percolation in segmented markets

  2014cited by this paper
• Existence and uniqueness of a steady state for an OTC market with several assets

  2014influential reference
• Over-the-counter market models with several assets

  2013cited by this paper
• Dark Markets: Asset Pricing and Information Transmission in Over-The-Counter Markets

  2011influential reference
• Liquidity premia in dynamic bargaining markets

  2008cited by this paper
• Search and endogenous concentration of liquidity in asset markets

  2007cited by this paper
• Valuation in Over-the-Counter Markets

  2006influential reference
• A Benchmark Approach to Quantitative Finance

  2006cited by this paper
• The exact law of large numbers via Fubini extension and characterization of insurable risks

  2006cited by this paper
• Over-the-Counter Markets

  2004cited by this paper
• Geršgorin And His Circles

  2004influential reference
• Dynamic Asset Pricing Theory

  1992cited by this paper
• Differential equations and their applications

  1983cited by this paper
• Some Conditions of Macroeconomic Stability

  1948influential reference

• No citing papers are available for this paper.