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Over-the-counter market models with several assets

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  • Alain B'elanger
  • Gaston Giroux
  • Miguel Moisan-Poisson

Abstract

We study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which investors trade with each other at these steady states. Finally, we study the stability of the solutions of these ODE's.

Suggested Citation

  • Alain B'elanger & Gaston Giroux & Miguel Moisan-Poisson, 2013. "Over-the-counter market models with several assets," Papers 1308.2957, arXiv.org.
    • Handle: RePEc:arx:papers:1308.2957
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    References listed on IDEAS

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    1. Vayanos, Dimitri & Wang, Tan, 2007. "Search and endogenous concentration of liquidity in asset markets," Journal of Economic Theory, Elsevier, vol. 136(1), pages 66-104, September.
    2. Darrell Duffie, 2012. "Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets," Economics Books, Princeton University Press, edition 1, number 9623.
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    Cited by:

    1. Alain B'elanger & Gaston Giroux & Ndoun'e Ndoun'e, 2015. "Some new results on Dufffie-type OTC markets," Papers 1503.03006, arXiv.org.

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