Two price economic equilibria and financial market bid/ask prices

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2020-06-18 DOI:10.2139/ssrn.3633351

R. Elliott, D. Madan, T. Siu

引用次数: 4

Abstract

Demand and supply uncertainty lead to a model of markets that set prices to acceptable risk levels for excess supplies and net revenues. The result is a two price partial equilibrium economy. The equilibrium solutions are applied to two price financial market data to infer demand and supply elasticities and log normal volatilities from market quotes on bid and ask prices. Demand elasticities are observed to be higher than supply elasticities as are the volatilities. Normalizing observed volatilities to the volatility of the daily traded volume a market implied duration of the economic equilibrium is inferred. The median level of duration is around a minute and half with an interquartile range from 37 s to 2 min. For larger orders, bid and ask prices may be constructed by calibrating the demand and supply volatilities.

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两种价格经济均衡与金融市场买卖价格

需求和供应的不确定性导致了一种市场模式，这种模式将价格设定在供应过剩和净收入可接受的风险水平上。其结果是两个价格的部分均衡经济。将均衡解决方案应用于两个价格金融市场数据，以推断需求和供给弹性，并从买卖价格的市场报价中记录正常波动率。需求弹性被观察到高于供给弹性，波动性也是如此。将观察到的波动率正常化为每日交易量的波动率，从而推断出经济均衡的市场隐含持续时间。持续时间的中位数水平约为一分半钟，四分位数范围为37秒至2分钟。对于较大的订单，可以通过校准需求和供应波动来构建买入价和卖出价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance