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| HAL : hal-00638966, version 5 |
| DOI : 10.3934/nhm.2012.7.349 |
| Fiche détaillée |  Récupérer au format |
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| Networks and Heterogeneous Media 7, 2 (2012) 349 - 361 |
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| Versions disponibles : | v1 (07-11-2011) | v2 (27-01-2012) | v3 (31-01-2012) | v4 (11-05-2012) | v5 (03-06-2012) |
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| Liquidity generated by heterogeneous beliefs and costly estimations |
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Min Shen 1Gabriel Turinici 1 |
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| (01/06/2012) |
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| We study the liquidity, de ned as the size of the trading volume, in a situation where an in nite number of agents with heterogeneous beliefs reach a trade-o between the cost of a precise estimation (variable depending on the agent) and the expected wealth from trading. The \true" asset price is not known and the market price is set at a level that clears the market. We show that, under some technical assumptions, the model has natural properties such as monotony of supply and demand functions with respect to the price, existence of an equilibrium and monotony with respect to the marginal cost of information. We also situate our approach within the Mean Field Games (MFG) framework of Lions and Lasry which allows to obtain an interpretation as a limit of Nash equilibrium for an in nite number of agents. |
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| 1 : | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| Domaine | : | Mathématiques/Analyse numérique Sciences de l'Homme et Société/Economies et finances Économie et finance quantitative/Finance quantitative Économie et finance quantitative/Microstructure des marchés Économie et finance quantitative/Gestion des risques |
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| liquidity – liquidity risk – transaction volume – liquidity model – Mean Field Games – trading volume – information cost – heterogeneous liquidity – heterogeneous beliefs – research cost |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00638966, version 5 | |
| http://hal.archives-ouvertes.fr/hal-00638966 | |
| oai:hal.archives-ouvertes.fr:hal-00638966 | |
| Contributeur : Gabriel Turinici | |
| Soumis le : Samedi 2 Juin 2012, 09:59:43 | |
| Dernière modification le : Dimanche 12 Août 2012, 23:33:30 | |
