Equilibrium in market maker models

Yutao Song; Shancun Liu

doi:10.1109/ICSSSM.2007.4280262

Equilibrium in market maker models

Yutao Song^*
, Shancun Liu

^*Corresponding author for this work

School of Economics and Management

Beihang University

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

Considering informed traders' information endogenous production cost and uninformed traders' strategic trading, this paper establishes a gamble model among market maker, informed and uninformed traders using rational expectation idea. It gives and proves the necessary and sufficient condition of the existence of a unique linear equilibrium in market and gets the analytical form of the equilibrium. This model is the extension of the general strategic rational expectation model. The results will be beneficial to further researches such as the optimal market mechanism design, and so on.

Original language	English
Title of host publication	Proceedings - ICSSSM'07
Subtitle of host publication	2007 International Conference on Service Systems and Service Management
DOIs	https://doi.org/10.1109/ICSSSM.2007.4280262
State	Published - 2007
Event	ICSSSM'07: 2007 International Conference on Service Systems and Service Management - Changdu, China Duration: 9 Jun 2007 → 11 Jun 2007

Publication series

Name	Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management

Conference

Conference	ICSSSM'07: 2007 International Conference on Service Systems and Service Management
Country/Territory	China
City	Changdu
Period	9/06/07 → 11/06/07

Keywords

Equilibrium
Financial market microstructure
Informed trader
Market maker

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10.1109/ICSSSM.2007.4280262

Cite this

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title = "Equilibrium in market maker models",

abstract = "Considering informed traders' information endogenous production cost and uninformed traders' strategic trading, this paper establishes a gamble model among market maker, informed and uninformed traders using rational expectation idea. It gives and proves the necessary and sufficient condition of the existence of a unique linear equilibrium in market and gets the analytical form of the equilibrium. This model is the extension of the general strategic rational expectation model. The results will be beneficial to further researches such as the optimal market mechanism design, and so on.",

keywords = "Equilibrium, Financial market microstructure, Informed trader, Market maker",

author = "Yutao Song and Shancun Liu",

year = "2007",

doi = "10.1109/ICSSSM.2007.4280262",

language = "英语",

isbn = "1424408857",

series = "Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management",

booktitle = "Proceedings - ICSSSM'07",

note = "ICSSSM'07: 2007 International Conference on Service Systems and Service Management ; Conference date: 09-06-2007 Through 11-06-2007",

}

Song, Y & Liu, S 2007, Equilibrium in market maker models. in Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management., 4280262, Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management, ICSSSM'07: 2007 International Conference on Service Systems and Service Management, Changdu, China, 9/06/07. https://doi.org/10.1109/ICSSSM.2007.4280262

Equilibrium in market maker models. / Song, Yutao; Liu, Shancun.
Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management. 2007. 4280262 (Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Song, Yutao

AU - Liu, Shancun

PY - 2007

Y1 - 2007

N2 - Considering informed traders' information endogenous production cost and uninformed traders' strategic trading, this paper establishes a gamble model among market maker, informed and uninformed traders using rational expectation idea. It gives and proves the necessary and sufficient condition of the existence of a unique linear equilibrium in market and gets the analytical form of the equilibrium. This model is the extension of the general strategic rational expectation model. The results will be beneficial to further researches such as the optimal market mechanism design, and so on.

AB - Considering informed traders' information endogenous production cost and uninformed traders' strategic trading, this paper establishes a gamble model among market maker, informed and uninformed traders using rational expectation idea. It gives and proves the necessary and sufficient condition of the existence of a unique linear equilibrium in market and gets the analytical form of the equilibrium. This model is the extension of the general strategic rational expectation model. The results will be beneficial to further researches such as the optimal market mechanism design, and so on.

KW - Equilibrium

KW - Financial market microstructure

KW - Informed trader

KW - Market maker

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M3 - 会议稿件

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SN - 1424408857

SN - 9781424408856

T3 - Proceedings - ICSSSM'07: 2007 International Conference on Service Systems and Service Management

BT - Proceedings - ICSSSM'07

T2 - ICSSSM'07: 2007 International Conference on Service Systems and Service Management

Y2 - 9 June 2007 through 11 June 2007

ER -

Equilibrium in market maker models

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Keywords

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