Arbitrage with financial constraints and market power

DOI10.1016/J.JET.2024.105825MaRDI QIDQ6537243zbMATH OpenFDO

Authors Vincent Fardeau

Publication date 14 May 2024

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

zbMATH Keywords

liquiditymarket structuremargin requirementsVaRstrategic arbitrageVolcker rule

Mathematics Subject Classification ID

Financial markets (91G15)

Recommendations

• Financially constrained arbitrage in illiquid markets
• Financial relationships and the limits to arbitrage
• Limits to arbitrage when market participation is restricted
• A general equilibrium analysis of strategic arbitrage
• Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents

Cites work

• Capacity Choice Counters the Coase Conjecture
• Consumption choice and asset pricing with a non-price-taking agent
• Financially constrained arbitrage in illiquid markets
• Foundations of dynamic monopoly and the Coase conjecture
• Institutional Investors and Stock Market Volatility
• Strategic Trading and Welfare in a Dynamic Market
• The rise of market power and the macroeconomic implications

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