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    題名: The optimal pricing of a market maker in a heterogeneous agent economy
    作者: 陳樹衡
    Guo, Bin;Zhang, Wei;Chen, Shu-Heng;Zhang, Yongjie
    貢獻者: 經濟系
    關鍵詞: Market-maker trading mechanism;Bid-ask prices;Heterogeneous agent economy
    日期: 2015-09
    上傳時間: 2016-01-11 14:27:50 (UTC+8)
    摘要: This paper extends some classical models, built upon the representative-agent and Walrasian market-clearing mechanism, into one characterized by a market-maker trading mechanism with investors having heterogeneous beliefs regarding the likely future payoff of a risky security. We show the optimal determination of the bid and ask prices and resultant trading volume. The endogenously-determined spread and volume are increasing with the degree of the heterogeneity of investors’ beliefs. We analyze the market marker’s risk exposure based on his inventory, under the condition in which he is fully informed of the investors’ beliefs, and under the condition in which he is not.
    關聯: Finance Research Letters,14,178-187
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.frl.2015.04.001
    DOI: 10.1016/j.frl.2015.04.001
    顯示於類別:[經濟學系] 期刊論文

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