haku: @indexterm Noise / yhteensä: 23
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| Tekijä: | Sarkar, A. |
| Otsikko: | On the equivalence of noise trader and hedger models in market microstructure |
| Lehti: | Journal of Financial Intermediation
1994 : MAR, VOL. 3:2, p. 204-212 |
| Asiasana: | NOISE MODELS MARKETS |
| Kieli: | eng |
| Tiivistelmä: | It is shown that the models of Spiegel and Subrahmanyam are equivalent in the following sense: the equilibrium values of market depth, the expected total trading volume and the expected price level are the same in the two models. Equivalence exists whenever the uniformed traders hedge all of their endowments of risky as shares. This occurs under two sets of parameter configurations. In both cases, the linear equilibrium in the hedger model always exists. |
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