Imperfect Competition in a Multi-Security Market with Risk Neutrality

DOI10.2307/2951665MaRDI QIDQ4301034zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

private informationrisk-neutral agentsimperfectly competitive multi- security marketimperfet competition

Mathematics Subject Classification ID

General equilibrium theory (91B50)

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

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