Search Results - subject:"Trading constraints"

Volatility, trading activity and maximum lot amounts : evidence from Borsa Istanbul

Gülay, Güzhan - In: Borsa Istanbul Review 22 (2022) 3, pp. 409-425

literature. Results show that heterogeneous effects arise from binding of trading constraints. The spread, which is mostly equal …

Persistent link: https://www.econbiz.de/10013334755

General Equilibrium with Endogenous Trading Constraints

Cea-Echenique, Sebastián; Torres-Martínez, Juan Pablo - Volkswirtschaftliche Fakultät, … - 2014

We build a general equilibrium model where agents are subject to endogenous trading constraints, making the access to …

Persistent link: https://www.econbiz.de/10011113684

Credit segmentation in general equilibrium.

Cea-Echenique, Sebastián; Torres-Martínez, Juan Pablo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

We build a general equilibrium model with endogenous borrowing constraints compatible with credit segmentation. There are personalized trading restrictions connecting prices with both portfolio constraints and consumption possibilities, a setting which has not thoroughly been addressed by the...

Persistent link: https://www.econbiz.de/10011123712

Equilibrium pricing in incomplete markets under translation invariant preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011

discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In …

Persistent link: https://www.econbiz.de/10010281519

Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In …

Persistent link: https://www.econbiz.de/10010607138

The dog that did not bark: Insider trading and crashes

Marín, José M.; Olivier, Jacques - Department of Economics and Business, Universitat … - 2006

phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as …

Persistent link: https://www.econbiz.de/10005772066

A general equilibrium financial asset economy with transaction costs and trading constraints

Milne, Frank; Neave, Edwin - 2003

costs and trading constraints. Furthermore we show that in the special case of equiproportional transaction costs and a …This paper presents a unified framework for examining the general equilibrium effects of transactions costs and trading … constraints on security market trades and prices. The model uses a discrete time/state framework and Kuhn- Tucker theory to …

Persistent link: https://www.econbiz.de/10010290443

A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints

Milne, Frank; Neave, Edwin - Economics Department, Queen's University - 2003

Persistent link: https://www.econbiz.de/10005653103

Prices, Asset Markets and Indeterminacy

Polemarchakis, Heracles M.; Siconolfi, P. - Cowles Foundation for Research in Economics, Yale University - 1996

Competitive equilibrium allocations are indeterminate when the net trades in commodities are constrained, while the asset market is incomplete.

Persistent link: https://www.econbiz.de/10005463855

Prices, Asset Markets and Indeterminacy

POLEMARCHAKIS, Heracles; SICONOLFI, Paolo - Center for Operations Research and Econometrics (CORE), … - 1994

Competitive equilibrium allocations are indeterminate when the net trades in commodities are constrained, while the asset market is incomplete.

Persistent link: https://www.econbiz.de/10005043450