Endogenous inverse demand functions

DOI10.1287/OPRE.2022.2325MaRDI QIDQ5058034zbMATH OpenOpenAlexFDO

Authors Maxim Bichuch, Zachary Feinstein

Publication date 1 December 2022

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2012.08002

zbMATH Keywords

equilibrium liquidationfire saleinverse demand functionprice impactsrisk sharing

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Financial markets (91G15) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Pricing in an equilibrium based model for a large investor
• Price impact in Nash equilibria
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Cites work

• A general class of distortion operators for pricing contingent claims with applications to CAT bonds
• A repo model of fire sales with VWAP and LOB pricing mechanisms
• An economic premium principle in a multiperiod economy.
• Capital regulation under price impacts and dynamic financial contagion
• Equilibrium in risk-sharing games
• Existence of an Equilibrium for a Competitive Economy
• Financial contagion and asset liquidation strategies
• Liquidity and Financial Market Runs
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Optimal risk sharing with background risk
• Price mediated contagion through capital ratio requirements with VWAP liquidation prices
• Strategic fire-sales and price-mediated contagion in the banking system
• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• Uniqueness of equilibrium in a payment system with liquidation costs

Cited in

(3)

• Connected substitutes and invertibility of demand
• Fire sales, default cascades and complex financial networks
• Price-mediated contagion with endogenous market liquidity

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