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Asset Dissemination Through Dealer Markets

Abstract : Many financial assets are disseminated to final investors via chains of over-the-counter transactions between dealers. We model such an intermediation process as a game with successive take-it-or-leave-it offers: A dealer buys several units of an asset, and can sell some of them to his customers or to a second dealer, who can sell to his customers or to a third dealer, and so on. In equilibrium, the asset is disseminated through a sequence of OTC transactions between dealers. The number of dealers involved, the inventories they keep, and the prices and quantities they offer are endogenously determined. Our model gives a framework to analyze how assets are disseminated through OTC markets, how liquidity evolves along a sequence of transactions, and varies across different sequences of different lengths.
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Preprints, Working Papers, ...
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https://hal-hec.archives-ouvertes.fr/hal-01933843
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Wednesday, January 23, 2019 - 2:11:22 PM
Last modification on : Friday, April 29, 2022 - 10:13:03 AM

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Jean-Edouard Colliard, Gabrielle Demange. Asset Dissemination Through Dealer Markets. 2018. ⟨hal-01933843⟩

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