Endogenous leverage and asset pricing in double auctions

DOI10.1016/J.JEDC.2015.02.004zbMath1401.91084OpenAlexW2020042768MaRDI QIDQ1657588

Thomas Breuer, Martin Jandačka, Martin Summer, Hans-Joachim Vollbrecht

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://www.oenb.at/dam/jcr:2fb1fdaf-2555-4503-a5d6-ac5c267710d3/wp184_screen_tcm16-256982.pdf

zbMATH Keywords

asset pricingdouble auctionleverageagent based modelingtrade on networks

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Asset price and trade volume relation in artificial market impacted by value investors

Cites Work

• Unnamed Item
• Computing equilibria in economies with incomplete markets, collateral and default penalties
• Collateral equilibrium. I: A basic framework
• Why does bad news increase volatility and decrease leverage?
• The limit-price mechanism.
• Bubbles and crashes: gradient dynamics in financial markets
• Collateral premia and risk sharing under limited commitment
• Leverage causes fat tails and clustered volatility
• Nash Dynamics in Constant Player and Bounded Jump Congestion Games
• The Experimental Study of Asset Pricing Theory
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral

This page was built for publication: Endogenous leverage and asset pricing in double auctions