Template-Type: ReDIF-Paper 1.0
Title: On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making
Author-Name: Georg Nöldeke
Author-Name: Thomas Tröger
Author-Email: 
Classification-JEL: G14, D82 
Keywords:  Market Microstructure, Market Making, Linear Equilibria
Abstract:  This paper derives necessary and sufficient conditions for the existence of linear 
	equilibria in the Rochet-Vila model of market making. In contrast to most previous work on 
	the existence of linear equilibria in models of market making, we do not impose 
	independence of the underlying random variables. For distributions that are determined by 
	their moments we show that a linear equilibrium exists if and only if the joint 
	distribution of noise trade and asset payoff is elliptical.
Note: 
Length: 18
Creation-Date: 2004-10	
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse19_2004.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse19_2004