Endogenous Inverse Demand Functions

33 Pages Posted: 18 Feb 2021

See all articles by Maxim Bichuch

Maxim Bichuch

University at Buffalo, SUNY

Zachary Feinstein

Stevens Institute of Technology - School of Business

Date Written: December 16, 2020

Abstract

In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants and can be viewed as a generalization of the Esscher premium. Existence and uniqueness of clearing prices for the liquidation of a portfolio are studied. We also investigate other desired portfolio properties including monotonicity and concavity. Price per portfolio unit sold is also calculated. In special cases, we study price impacts generated by market participants who follow the exponential utility and power utility.

Keywords: Finance, Systemic Risk, Buhlmann equilibrium, Price impact, Clearing prices

JEL Classification: G32

Suggested Citation

Bichuch, Maxim and Feinstein, Zachary, Endogenous Inverse Demand Functions (December 16, 2020). Available at SSRN: https://ssrn.com/abstract=3750391 or http://dx.doi.org/10.2139/ssrn.3750391

Maxim Bichuch (Contact Author)

University at Buffalo, SUNY ( email )

12 Capen Hall
Buffalo, NY 14260
United States

Zachary Feinstein

Stevens Institute of Technology - School of Business ( email )

Hoboken, NJ 07030
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
34
Abstract Views
245
PlumX Metrics