Episodic Liquidity Crises : Cooperative and Predatory Trading  

Oleh:

Carlin, Bruce Ian ; Lobo, Miguel Sousa ; Viswanathan, S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2235-2274.
Topik: trading; episodic; liquidity; predatory trading
Fulltext: p 2235.pdf (327.58KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We describe how episodic liquidity arises from a breakdown in cooperation between market participants. We first solve a one - period trading game in continuous - time, using an asset pricing equation that accounts for the price impact of trading. Then, in a multi - period framework, we describe an equilibrium in which traders cooperate most of the time through repeated interaction, providing apparent liquidity to one another. Cooperation breaks down when the stakes are high, leading to predatory across markets lead to less frequent episodic illiquidity, but cause contagion when cooperation breaks down.

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