TitleEssays on coordination and financial markets
NameGalunic, Nicholas B. (author), SOPHER, BARRY (chair), Campbell, Colin (internal member), McLean, Richard (internal member), Bykowsky, Mark (outside member), Rutgers University, Graduate School - New Brunswick,
Equilibrium (Economics) ,
DescriptionThis dissertation is concerned with microeconomic models of equilibrium pricing in financial markets of varying organizational scope. The first two chapters are based on game-theoretic models characterized by a coordination problem. I begin at the industry level in Chapter 2 where I solve the chicken-or-the-egg problem of platform pricing. I show that the elasticity of demand is greater for the more valued side and hence a monopolist will charge that side a lower price. These results have implications on how exchanges admit traders and apply to more general two-sided markets. My findings are supported by experimental tests. Chapter 3 examines regulatory efficacy in manipulating a currency market with a peg. I solve for equilibrium speculator conduct and central bank intervention policy where the speculator population is discrete. Sudden equilibrium price collapses are related explicitly to fundamentals. The main findings are again supported by experimental tests. In the final chapter, I study a market where strategic behavior is set aside and market participants are instead assumed to be perfect delta hedgers who immediately exploit arbitrage opportunities. I numerically estimate the equilibrium price of an exotic option in such a market.
NoteIncludes bibliographical references
Noteby Nicholas B. Galunic
CollectionGraduate School - New Brunswick Electronic Theses and Dissertations
Organization NameRutgers, The State University of New Jersey
RightsThe author owns the copyright to this work.