Imperfect Competition in a Multi-Security Market with Risk Neutrality

DOI10.2307/2951665zbMATH Open0806.90010OpenAlexW1975851562MaRDI QIDQ4301034FDOQ4301034

Authors: Jordi Caballé, Murugappa Krishnan 

Publication date: 12 July 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951665

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zbMATH Keywords

private informationrisk-neutral agentsimperfectly competitive multi- security marketimperfet competition

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Cited In (10)

• Risk-averse insider trading in multi-asset sequential auction markets
• Arbitrage pricing in non-Walrasian financial markets
• High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
• A characterisation of cross-impact kernels
• Endogenous information acquisition with Cournot competition
• Informational asymmetries and a multiplier effect on price correlation and trading
• The complexity of an investment competition dynamical model with imperfect information in a security market
• How to build a cross-impact model from first principles: theoretical requirements and empirical results
• The Multivariate Kyle Model: More is Different
• The dynamics of strategic information flows in stock markets

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