Strategic Trading and Welfare in a Dynamic Market

DOI10.1111/1467-937X.00086zbMATH Open0984.91058OpenAlexW2012231538MaRDI QIDQ4262871FDOQ4262871

Dimitri Vayanos

Publication date: 4 June 2000

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-937x.00086

zbMATH Keywords

dynamic modelfinancial marketlarge agentstime between tradeswelfare loss due to strategic behaviour

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic models in economics (91B70) Trade models (91B60)

Cited In (22)

• Information, market power and welfare
• Equilibrium effects of intraday order-splitting benchmarks
• Equilibrium in risk-sharing games
• Optimal market thickness
• Price impact equilibrium with transaction costs and TWAP trading
• Dynamic trading policies with price impact
• Decentralized Trading, Strategic Behaviour and the Walrasian Outcome
• Allais' trading process and the dynamic evolution of a market economy
• Learning about latent dynamic trading demand
• Do supply and demand drive stock prices?
• Bargaining in small dynamic markets
• A multi-agent targeted trading equilibrium with transaction costs
• From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand
• Bilateral trading in divisible double auctions
• No-arbitrage, state prices and trade in thin financial markets
• Information precision and asymptotic efficiency of industrial markets
• Market selection
• Arbitrage with financial constraints and market power
• Price impact in Nash equilibria
• The effect of market power on risk-sharing
• Strategic behavior in financial markets
• Price impact under heterogeneous beliefs and restricted participation

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