- Ulm University
martedì 14 marzo 2017
Polo Santa Marta, Via Cantarane 24, Room 1.59
We describe an agent-based model (two trading desks) with cash-at-the end-of-period constraints.
The paper gives special importance to the way payments are decided and reflects the cost of securities issuance and trading, a usually small and neglected component of the bond price in normal times.
The model generates a dynamic of the bid-ask spread which depends on the assumed discount factor of utility of the traders.
Moreover, the model mimics the decrease of turnover and the related increase of spread observed in uncertain times.