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dc.contributor.authorShen, Min
dc.contributor.authorTurinici, Gabriel
dc.date.accessioned2011-11-09T14:56:45Z
dc.date.available2011-11-09T14:56:45Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7431
dc.language.isoenen
dc.subjectliquidityen
dc.subjecttransaction volumeen
dc.subjectmean field gamesen
dc.subjectheterogeneous beliefsen
dc.subjectresearch costen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.titleLiquidity generated by heterogeneous beliefs and costly estimationsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe study in this work the liquidity, defined as the size of the trading volume, in a situation when an infinite number of agents with het- erogeneous beliefs reach a trade-off between cost of a precise estimation (variable depending on the agent) and expected profit from trading at the resulting estimate price. The "true" asset price is not known and the mar- ket price is set at a level that clears the market. We show that under some technical assumptions the model has natural properties such as monotony of offer and demand functions with respect to the price, existence of an overall equilibrium and monotony with respect to cost of information. We also situate our approach within the Mean Field Games (MFG) framework of Lions and Lasry which allows to obtain an interpretation as a limit of Nash equilibrium for an infinite number of players.en
dc.relation.isversionofjnlnameNetworks and Heterogeneous Media
dc.relation.isversionofjnlvol7
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages349-361
dc.relation.isversionofdoihttp://dx.doi.org/10.3934/nhm.2012.7.349
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00638966/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherAmerican Institute of Mathematical Sciences
dc.subject.ddclabelEconomie financièreen


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