No-arbitrage, state prices and trade in thin financial markets

DOI10.1007/s00199-010-0567-5zbMath1258.91071MaRDI QIDQ420983

Marek Weretka, Andrés Carvajal

Publication date: 23 May 2012

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-010-0567-5

zbMATH Keywords

asset pricing; price impact; pricing kernel; institutional traders; thin markets

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91B50: General equilibrium theory

Related Items

Savings and default, Endogenous market power, Pricing rules and Arrow-Debreu ambiguous valuation, A theorem of the alternative with an arbitrary number of inequalities and quadratic programming, The effect of market power on risk-sharing, Unhedgeable shocks and statistical economic equilibrium, Arbitrage pricing in non-Walrasian financial markets

Cites Work

• Endogenous market power
• A general equilibrium analysis of strategic arbitrage
• Strategic market games: an introduction.
• Non-Walrasian equilibria and the law of one price
• Arbitrage and equilibrium in strategic security markets
• Endogenous market integration, manipulation and limits to arbitrage
• Institutional Investors and Equity Prices
• Price Inference in Small Markets
• Informed Speculation with Imperfect Competition
• Strategic Trading and Welfare in a Dynamic Market
• Unnamed Item
• Unnamed Item
• Unnamed Item