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Title: Disclosure and trading games in financial markets
Author: Bleck, Alexander
Awarding Body: London School of Economics and Political Science (University of London)
Current Institution: London School of Economics and Political Science (University of London)
Date of Award: 2009
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Financial market runs are the equivalent of a bank run outcome in financial markets. They occur because traders have an incentive to sell when others do so. In our model, traders with market impact who are subject to a loss limit and face uncertainty about market liquidity sell in the fear that other sellers may beat them to the market. The result is a coordinated sell-off that leaves all traders worse off. Using global game techniques, we characterize a unique equilibrium in which this run outcome or liquidity black hole comes into existence. Counter to common intuition, we argue that traders, who are active in the same market and hence expose themselves to identical risks, may overcome these liquidity black holes through sufficiently strong financial interlinkages.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available