The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market

Detalhes bibliográficos
Autor(a) principal: Amaro de Matos, João
Data de Publicação: 2000
Outros Autores: Sobral do Rosário, João
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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spelling 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
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dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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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
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