Computing posterior signals and endogenous parameters in a dealer trading network

C-Tier
Journal: Economics Letters
Year: 2021
Volume: 207
Issue: C

Authors (2)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A numerical procedure to obtain posterior valuation signals in a theoretical equilibrium of an interdealer trading network is derived by harnessing a transformation of the adjacency matrix of the network. Applying transaction prices and quantities, the procedure leads to recovery of the endogenous parameters of the network.

Technical Details

RePEc Handle
repec:eee:ecolet:v:207:y:2021:i:c:s0165176521002779
Journal Field
General
Author Count
2
Added to Database
2026-01-25