arXiv subjects

Ndouné Ndouné

Publications and source records attributed to Ndouné Ndouné.

3 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

Cluster algebras arising from the infinity-gon

We introduce a handy construction of cluster algebras of type $\mathbb{A}_{\infty}$, we give a complete classification of the cluster algebras arising from the infinity-gon, and finally we construct the category of the diagonals of the infinity-gon and show that it is triangle-equivalent to the infinite cluster category of type $\mathbb{A}_{\infty}$ described by Holm and Jørgensen.

math.RT↗