Most assets clear independently rather than jointly. This paper presents a model based on the uniform‐price double auction which accommodates arbitrary restrictions on market clearing, including independent clearing across assets (allowed when demand for each asset is contingent only on the...

Anderson (1976) was the first to give a non-standard construction of a Brownian motion. His approach was to use the binomial model in a discrete time with infinitesimal time steps. Pricing an option in a model similar to the Black-Scholes model with the nonstandard Brownian motion can be done by...

Most assets clear independently rather than jointly. This paper presents a model based on the uniform-price double auction which accommodates arbitrary restrictions on market clearing, including independent clearing across assets (allowed when demand for each asset is contingent only on the...

Using a search-based trading model, we show that either an illiquidity price premium or discount can arise between two assets with identical fundamentals. Liquidity between the two assets diverges endogenously in a self-reinforcing manner as trading is concentrated in the more liquid asset. When...

We study markets based on the uniform-price double auction with T periods and I traders who have private information about their demands. The model accommodates the heterogeneity in the traders' risk preferences, the statistics of outcomes they condition their demands on, and general...

Privacy is a common concern in markets. We study dynamic markets based on the uniform-price double auction with I heterogeneous traders who have private information. Traders' demand schedules can condition on the statistics of past and current outcomes. Equilibrium strategies depend on the...

This paper examines security design in imperfectly competitive markets in which assets clear separately rather than jointly. Derivatives are generally nonredundant even with zero asset supply. We characterize the scope for introducing nonredundant derivatives and examine the welfare effects of...

Advances in market-clearing technology for multiple assets and synthetic products present alternative ways to leverage complementarities and substitutabilites in asset payoffs. This paper compares their equilibrium and welfare effects. Our results underscore the difference the price impact makes...

Futures contracts have been highly successful financial securities, with substantial trading volumes and active underlying asset markets. In a dynamic market framework, we show that imperfect competition in future spot markets motivates trades in futures contracts in earlier periods. The...