Resource title

On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making

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Resource description

This paper derives necessary and sufficient conditions for the existence of linear equilibria in the Rochet-Vila model of market making. In contrast to most previous work on the existence of linear equilibria in models of market making, we do not impose independence of the underlying random variables. For distributions that are determined by their moments we show that a linear equilibrium exists if and only if the joint distribution of noise trade and asset payoff is elliptical.

Resource author

Georg Nöldeke, Thomas Tröger

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Resource publish date

Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/22896

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Adapt according to the presented license agreement and reference the original author.