We introduce and study three classes of over-the-counter markets specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie-G\^{a rleanu-Pedersen , Over-the-Counter markets, Econometrica, 73 (2005) . The key innovation is allowing for multiple assets. We compute the steady states for these ODE's.
We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^a rleanu-Pedersen 6 . The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.
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three classes
a class
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markets
market models
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Duffie-G\^{a
Duffie- G^a
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, Over-the-Counter markets, Econometrica, 73 (2005)
6
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compute the steady states
show the existence and uniqueness of a steady state