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| Title | The optimal pricing of a market maker in a heterogeneous agent economy |
| Creator | 陳樹衡 Guo, Bin;Zhang, Wei;Chen, Shu-Heng;Zhang, Yongjie |
| Contributor | 經濟系 |
| Key Words | Market-maker trading mechanism; Bid-ask prices; Heterogeneous agent economy |
| Date | 2015-09 |
| Date Issued | 11-Jan-2016 14:27:50 (UTC+8) |
| Summary | 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. |
| Relation | Finance Research Letters,14,178-187 |
| Type | article |
| DOI | http://dx.doi.org/10.1016/j.frl.2015.04.001 |
| dc.contributor | 經濟系 | - |
| dc.creator (作者) | 陳樹衡 | - |
| dc.creator (作者) | Guo, Bin;Zhang, Wei;Chen, Shu-Heng;Zhang, Yongjie | - |
| dc.date (日期) | 2015-09 | - |
| dc.date.accessioned | 11-Jan-2016 14:27:50 (UTC+8) | - |
| dc.date.available | 11-Jan-2016 14:27:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Jan-2016 14:27:50 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/80486 | - |
| dc.description.abstract (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. | - |
| dc.format.extent | 687894 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Finance Research Letters,14,178-187 | - |
| dc.subject (關鍵詞) | Market-maker trading mechanism; Bid-ask prices; Heterogeneous agent economy | - |
| dc.title (題名) | The optimal pricing of a market maker in a heterogeneous agent economy | - |
| dc.type (資料類型) | article | - |
| dc.identifier.doi (DOI) | 10.1016/j.frl.2015.04.001 | - |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.frl.2015.04.001 | - |