The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market
FEUNL Working Paper Series No. 389
8 Pages Posted: 6 Feb 2006
Date Written: 2000
This paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of nancial 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).
Keywords: Bid-ask spread, intermediary, dynamic equilibrium
JEL Classification: G10
Suggested Citation: Suggested Citation