Order-Driven Markets are Almost Competitive
نویسنده
چکیده
This paper studies a market game under uncertainty in which agents may submit multiple limit and market orders. When agents know their preferences at all states, the competitive equilibrium can be supported as a Nash equilibrium of the market game, that is, agents behave as if they were price takers. Therefore, if the associated competitive economy has a fully revealing rational expectations equilibrium, then so does the market game. This resolves the puzzle that agents behave as if prices were given, even though prices aggregate private information, at least for this “private values” case. Necessary conditions for Nash equilibrium show that the resulting allocation cannot deviate too far from a competitive equilibrium. When agents do not know their preferences at some states, though, a characterization result shows that the Nash equilibria of the market game tend to be far from competitive.
منابع مشابه
A Comprehensive Survey on GenCos’ Optimal Bidding Strategy Problem in Competitive Power Markets
This paper represents a complete survey on Generation Companies’ (GenCos’) optimal bidding strategy problem in restructured power markets. In this regard after an introduction to competitive electricity markets, concept of optimal bidding strategy is presented. Considering large amount of works accomplished in this area a novel classification is implemented in order to categorize the existing d...
متن کاملMarket-Driven Management: A Critical Literature Review
In global markets the firms adopt a market–driven approach characterized by a careful monitoring of the competition and by the development of high skills in understanding the market and its stakeholders, in order to choose the most suitable competitive strategy. The paper provides a critical review of the main literature on market-driven management, analysing its evolution from Japan to the USA...
متن کاملLiquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading
We provide a three way theoretical comparison of dealer, limit order, and hybrid markets and analyze the impact that the organization of trading has on volume, liquidity, and price efficiency. We find, in particular, that trading volume is highest in the limit order market and lowest in the dealer market. Small order price impacts are lowest and large order price impacts are highest in limit or...
متن کاملPricing Approaches for Investment Companies
The main business of an investment company is to hold and manage securities for investment purposes. In today competitive market Pricing and its methodology are complicated motions. It is very important to define a price that can prevail the competition in an open and free market. In order to define the price certain circumstances should be considered. In the academic arena there have been seve...
متن کاملDisentangling Competition Among Platform Driven Strategic Groups: A Comparative Case Study Of Uk Mobile Payment Platforms
In platform-driven markets, competitive advantage is derived from superior platform design and configurations. For this reason, platform owners strive to create unique and inimitable platform configurals to maintain and extend their competitiveness within network economies. To disentangle firm competition within platform-driven markets, we opted for the UK mobile payment market as our empirical...
متن کامل