The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market
Autor(a) principal: | |
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Data de Publicação: | 2000 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/83637 |
Resumo: | This paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of financial assets. The model is derived introducing an intermediary and inventory costs in the setting of equilibrium financial markets as described by Platen and Rebolledo (1996). |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial MarketBid-ask spreadIntermediaryDynamic equilibriumThis paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of financial assets. The model is derived introducing an intermediary and inventory costs in the setting of equilibrium financial markets as described by Platen and Rebolledo (1996).Nova SBERUNAmaro de Matos, JoãoSobral do Rosário, João2019-10-08T09:56:35Z2000-022000-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/83637engAmaro de Matos, João and Sobral do Rosário, João, The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market (February, 2000). FEUNL Working Paper Series No. 389info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:37:19Zoai:run.unl.pt:10362/83637Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:36:22.186720Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market |
title |
The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market |
spellingShingle |
The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market Amaro de Matos, João Bid-ask spread Intermediary Dynamic equilibrium |
title_short |
The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market |
title_full |
The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market |
title_fullStr |
The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market |
title_full_unstemmed |
The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market |
title_sort |
The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market |
author |
Amaro de Matos, João |
author_facet |
Amaro de Matos, João Sobral do Rosário, João |
author_role |
author |
author2 |
Sobral do Rosário, João |
author2_role |
author |
dc.contributor.none.fl_str_mv |
RUN |
dc.contributor.author.fl_str_mv |
Amaro de Matos, João Sobral do Rosário, João |
dc.subject.por.fl_str_mv |
Bid-ask spread Intermediary Dynamic equilibrium |
topic |
Bid-ask spread Intermediary Dynamic equilibrium |
description |
This paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of financial assets. The model is derived introducing an intermediary and inventory costs in the setting of equilibrium financial markets as described by Platen and Rebolledo (1996). |
publishDate |
2000 |
dc.date.none.fl_str_mv |
2000-02 2000-02-01T00:00:00Z 2019-10-08T09:56:35Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/83637 |
url |
http://hdl.handle.net/10362/83637 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Amaro de Matos, João and Sobral do Rosário, João, The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market (February, 2000). FEUNL Working Paper Series No. 389 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Nova SBE |
publisher.none.fl_str_mv |
Nova SBE |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137982359273472 |