arXiv subjects

Alain Bélanger

Publications and source records attributed to Alain Bélanger.

4 recordsLinked to original sources

arXiv2018

Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices

We study a generalization of the model of a dark market due to Duffie-Gârleanu- Pedersen [6]. Our market is segmented and involves multiple assets. We show that this market has a unique asymptotically stable equilibrium. In order to establish this result, we use a novel approach inspired by a theory due to McKenzie and Hawkins-Simon. Moreover, we obtain a closed form solution for the price of each asset at which investors trade at equilibrium. We conduct a comparative statics analysis which shows, among other sensitivities, how equilibrium prices respond to the level of interactions between investors.

econ.GN↗

arXiv2015

Some new results on Dufffie-type OTC markets

The extended Wild sums considered in this article generalize the classi- cal Wild sums of statistical physics. We first show how to obtain explicit solutions for the evolution equation of a large system where the interactions are given by a single, but general, interacting kernel which involves m components, for a fixed m >= 2. We then show how to retain the explicit formulas for the case of OTC market models where the dynamics is more directly described by two (or more) kernels.

q-fin.MF↗

arXiv2013

Over-the-counter market models with several assets

We study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which investors trade with each other at these steady states. Finally, we study the stability of the solutions of these ODE's.

q-fin.CP↗

arXiv2012

Information Percolation: Some General Cases with an Application to Econophysics

We describe, at the microscopic level, the dynamics of N interacting components where the probability is very small when N is large that a given component interact more than once, directly or indirectly, up to time t, with any other component. Due to this fact, we can consider, at the macroscopic level, the quadratic system of differential equations associated with the interaction and establish an explicit formula for the solution of this system. We moreover apply our results to some models of Econophysics.

q-fin.CP↗