The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market

Amaro de Matos, Joao; Rosario, Joao

doi:10.2139/ssrn.880438

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The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market

FEUNL Working Paper Series No. 389

8 Pages Posted: 6 Feb 2006

See all articles by Joao Amaro de Matos

This paper presents an endogeneous model for the stochastic dynamics of the bid-ask spread of prices of nancial assets. The model is derived introducing an intermediary and inventory costs in the setting of equilibrium financial markets as described by Platen and Rebolledo (1996).

Keywords: Bid-ask spread, intermediary, dynamic equilibrium

JEL Classification: G10

Suggested Citation: Suggested Citation

Amaro de Matos, Joao and Rosario, Joao, The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic Financial Market (2000). FEUNL Working Paper Series No. 389, Available at SSRN: https://ssrn.com/abstract=880438 or http://dx.doi.org/10.2139/ssrn.880438