Stochastics Seminar - Ibrahim Ekren
A Dynamic Equilibrium Model for Brokerage Fees
WeÌý develop a dynamic equilibrium model for market liquidity. To wit, we solve for the equilibrium prices at which liquidity takers' demands are absorbed by liquidity providers, who can in turn gradually transfer these positions to a group of end users. We also find the optimal strategy of a liquidity taker in such a market and compute the equilibrium price dynamics. This is joint work in progress with Peter Bank and Johannes Muhle-Karbe. Ìý