arXiv subjects

Gaston Giroux

Publications and source records attributed to Gaston Giroux.

4 recordsLinked to original sources

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↗

arXiv2008

Information Percolation

For a setting in which a large number of asymmetrically informed agents are randomly matched into groups over time, exchanging their information with each other when matched, we provide an explicit solution for the dynamics of the cross-sectional distribution of posterior beliefs. We also show that convergence of the cross-sectional distribution of beliefs to a common posterior is exponential and that the rate of convergence does not depend on the size of the groups of agents that meet. The rate of convergence is merely the mean rate at which an individual agent is matched.

math.PR↗