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Quantitative Finance · Begrippenlijst

Wat is Over-the-counter search model, search friction, bargaining power?

Ook bekend als: over-the-counter search model · search friction · bargaining power

Definition 23.1 Microstructure and Execution · Hoofdstuk 23 — Request for Quote and Dealer Markets in Theory

An over-the-counter search model describes a market in which traders find counterparties one at a time, at random times, and agree prices bilaterally. A search friction is the delay and cost of finding a counterparty; a trader’s bargaining power is the share of the gains from a trade it captures when a counterparty is found.

The dealer market’s bid–ask spread against the investors’ contact rate with dealers, in the search-and-bargaining model with the chapter’s parameters. Data: mx_otc.dgp_study.
Figure 23.1. The dealer market’s bid–ask spread against the investors’ contact rate with dealers, in the search-and-bargaining model with the chapter’s parameters. Data: mx_otc.dgp_study.
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