Carlin, Bruce Ian (contributor); Lobo, Miguel (contributor); … - 2004
-lived
illiquidity.
We develop a dynamic model of trading based on liquidity needs. During each period, a liquidity
event may occur in … dynamic game. We first
consider an infinitely-repeated game in which the magnitude of the liquidity event is fixed. In
this … illiquidity by allowing the exogenous magnitude of the liquidity
event in the repeated game to be stochastic. Given such …