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Arbitrage with Financial Constraints and Market Power
NRU HSE
,
2022.
No. WP9/2022/01.
I study how (VaR-based) financial constraints affect liquidity and welfare under different structures of the arbitrage industry. When capital is spread across numerous competitive arbitrageurs, financial constraints may impair their ability to provide liquidity, lowering other investors’ welfare. However, when capital is concentrated among arbitrageurs with market power, introducing constraints can make everyone better off and increase liquidity. Further, alternative constraints (fixed margins, position limits) have the same effects as VaR constraints when arbitrageurs are competitive, but not when they have market power. These results suggest that margin and capital requirements should take the market structure into account.
Fardeau V., Journal of Economic Theory 2024 Vol. 217 Article 105825
I study how (VaR-based) financial constraints affect liquidity and welfare under different structures of the arbitrage industry. When capital is dispersed across competitive arbitrageurs, financial constraints may impair their ability to provide liquidity, lowering other investors' welfare. However, when capital is concentrated among arbitrageurs with market power, introducing constraints can make everyone better off and ...
Added: April 1, 2024
Fardeau V., Journal of Financial Markets 2023 Vol. 64 Article 100818
I study the sequential entry of intermediaries into an illiquid market. As intermediaries trade with rational counterparts, market depth affects and is affected by the possibility of entry. This feedback loop between entry and depth gives incumbent intermediaries more incentives to deter entrants, creating endogenous barriers to entry. Further, whether entry occurs or not in ...
Added: November 30, 2022
Fardeau V., / NRU HSE. Series WP9 "Серия WP9 «Исследования по экономике и финансам»". 2022. No. WP9/2022/03.
I study the sequential entry of intermediaries into an illiquid market. As intermediaries trade with rational counterparts, market depth affects and is affected by the possibility of entry. This feedback loop between entry and depth gives incumbent intermediaries more incentives to deter entrants, creating endogenous barriers to entry. Further, whether entry occurs or not in ...
Added: June 17, 2022
Fardeau V., / NRU HSE. Series WP9 "Серия WP9 «Исследования по экономике и финансам»". 2022. No. WP9/2022/02.
I study the price/quantity effects of anticipated supply or demand shocks in a model of strategic trading, where imperfectly competitive traders share risk with price-takers. When there are at least two traders, anticipated shocks lead to the V-shaped pattern observed empirically: prices drift away from fundamentals before the shock, and slowly revert afterwards. How traders ...
Added: June 17, 2022
Berzon N. I., Смирнов А. А., Piliugin G. V., Финансы и бизнес 2018 Т. 14 № 3 С. 19–35
Nowadays investors are facing changing conditions of global financial markets and should evaluate risks correctly. The most crucial factor is market risk that defines financial stability and investment results of professional participants at financial market and its clients. One of the characteristics of American stocks are higher volatility during financial report announcements. Common VaR methodology ...
Added: November 28, 2018
Svetunkov S., Современная конкуренция 2017 Т. 11 № 6 (66) С. 5–26
The article is devoted to the presentation of the methodological foundations of the theory of multilevel competition and the justification of a set of new methods and coefficients for analyzing the level of competition in individual markets and in the market of multilevel competition as a whole (by the example of a two-level market). The ...
Added: January 26, 2018
Kokovin S. G., Parenti M., Thisse J. et al., / Series ISSN 0265-8003 "Centre for Economic Policy Research Discussion Paper Series". 2017. No. DP12367.
We show that a market involving a handful of large-scale firms and a myriad of small-scale firms may give rise to different types of market structure, ranging from monopoly or oligopoly to monopolistic competition through new types of market structure. In particular, we find conditions under which the free entry and exit of small firms ...
Added: October 26, 2017
Yusupova G. F., Современная конкуренция 2015 Т. 9 № 54 С. 52–69
Most of collusion participants have incentives to commit to collusion because of their high estimations of future profits. However Leniency Program can affect incentives of collusion participants through the analysis of market structure changes. The analyses of Leniency Program effects on stability and duration of collusions increases the efficiency both the work of the antimonopoly ...
Added: February 9, 2016
Rozanova N. M., Мигалев Я. А., AlterEconomics (ранее - Журнал экономической теории) 2015 № 1 С. 122–132
The article demonstrates a new approach to markets with product differentiation, that is of industrial design. Various concepts of industrial design as an effective instrument in modern competition are analysed. Factors of design competitiveness are shown. A Hotelling type model with industrial design is presented. It is concluded that using design as a tool of ...
Added: April 7, 2015
Savitskaya E. V., M.: Litterra, 2018.
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Added: October 21, 2014
Vernikov A. V., Problems of Economic Transition 2014 Vol. 57 No. 4 P. 3–25
This article assesses the effect of Russia's industrial policy with respect to the growth of the "national champion" state banks on concentration and competition in 2000-2010. ...
Added: October 2, 2014
Vernikov A. V., , in: XIV Апрельская международная научная конференция по проблемам развития экономики и общества: в 4-х книгах. Книга 1.: М.: Издательский дом НИУ ВШЭ, 2014. P. 494–503.
We assess the effects of state-controlled "national champions" on the concentration and efficiency of the Russian banking industry. Our main hypothesis is that the unusual findings of the empirical studies reflect a specific institutional structure of the Russian banking market, namely the dominant position of the state-controlled players who are essentially different institutions than other ...
Added: March 29, 2014
Andreev N. A., , in: Financial Econometrics and Empirical Market Microstructure.: NY: Springer, 2015.
The problem of optimal portfolio liquidation under transaction costs has been widely researched recently, thus producing several approaches to problem formulation and solving. Obtained results can be used for decision making during portfolio selection or automatic trading at high-frequency electronic markets. This work gives a review of modern studies in this field, comparing models and ...
Added: October 21, 2013
Kadochnikov S. M., Drapkin I. M., / Series "CESifo working paper". 2008. No. 2227.
This paper is based on the model of backward linkages from foreign direct investment (FDI) Lin/Saggi (2003), where the market structure of the final goods sector is represented by a monopoly or Cournot oligopoly, and the supplier sector – by a pure monopoly. We extend this model by examining cases of perfect competition and a ...
Added: September 24, 2013
Konyukhovskiy P., Nastych Maria A., International Journal of Economic Behavior and Organization 2013 Vol. 1 No. 2 P. 20–26
Cooperative behavior of economic agents is becoming particularly relevant in the context of globalization and information exchange streamlining. Amalgamate entities pursue the goals of strengthening their market position and influence whether it’s a mutual cooperation or hostile takeover. Coalitions formation between the firms can lead both to the establishment of monopoly power through consolidation, and ...
Added: August 11, 2013
Dolgopyatova T. G., Экономическая наука современной России 1999 № 3 С. 49–63
The article examines the specifics of small business sector institutional development in the transitional economy of Russia. It shows that small business adjustment has brought about a number of economic institutions, for example, business networks and vertically integrated structures. But business associations as a fully-fledged institution representing and protecting the interests of small business have ...
Added: March 29, 2013