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| Format: | Preprint |
| Veröffentlicht: |
2025
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| Online-Zugang: | https://arxiv.org/abs/2508.10138 |
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| _version_ | 1866915446140174336 |
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| author | Kwon, Heeyoung Choi, Jin Hyuk |
| author_facet | Kwon, Heeyoung Choi, Jin Hyuk |
| contents | We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state variables: the market maker's expectation of the trader's remaining demand and the residual demand beyond this expectation. This discrete-time uniqueness result aligns with its continuous-time analogue, indicating that the latter may emerge as the unique limit within the same class. We also prove the existence of a linear equilibrium, providing formal support to numerical and empirical findings in related work. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_10138 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Uniqueness and Existence of Linear Equilibrium with a Constrained Trader Kwon, Heeyoung Choi, Jin Hyuk Mathematical Finance 91B26, 91G80, 91A80 We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state variables: the market maker's expectation of the trader's remaining demand and the residual demand beyond this expectation. This discrete-time uniqueness result aligns with its continuous-time analogue, indicating that the latter may emerge as the unique limit within the same class. We also prove the existence of a linear equilibrium, providing formal support to numerical and empirical findings in related work. |
| title | Uniqueness and Existence of Linear Equilibrium with a Constrained Trader |
| topic | Mathematical Finance 91B26, 91G80, 91A80 |
| url | https://arxiv.org/abs/2508.10138 |