The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic financial Market

This paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of nancial assets. The model is derived introducing an intermediary and inventory costs in the setting of equilibrium financial markets as described by Platen and Rebolledo (1996)

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Year of publication:	2000
Authors:	Matos, Joao Amaro de ; Rosario, Joao Sobral do
Institutions:	Faculdade de Economia, Universidade Nova de Lisboa
Subject:	Bid-ask spread \| intermediary \| dynamic equilibrium

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Series:	FEUNL Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	8 pages
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005176500