Equilibrium in Market Maker Models

Author

Yutao, Song ; Shancun, Liu

Author_Institution

Beihang Univ., Beijing

fYear

2007

fDate

9-11 June 2007

Firstpage

1

Lastpage

5

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

game theory; stock markets; strategic planning; gamble model; market maker models equilibrium; rational expectation idea; strategic rational expectation; traders information endogenous production cost; uninformed traders strategic trading; Context modeling; Costs; Economic forecasting; Information analysis; Microstructure; Production; Random variables; Risk analysis; Stock markets; Sufficient conditions; equilibrium; financial market microstructure; informed trader; market maker;

fLanguage

English

Publisher

ieee

Conference_Titel

Service Systems and Service Management, 2007 International Conference on

Conference_Location

Chengdu

Print_ISBN

1-4244-0885-7

Electronic_ISBN

1-4244-0885-7

Type

conf

DOI

10.1109/ICSSSM.2007.4280262

Filename

4280262