Auction mechanism and time-varying Walrasian equilibrium: an application to stock market (notice n° 634588)
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| fixed length control field | 03087cam a2200313 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121175207.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Petrov, Sergey |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Auction mechanism and time-varying Walrasian equilibrium: an application to stock market |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2022.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 21 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Cet article développe une théorie analytique du prix des actions dans un environnement boursier. L’approche proposée correspond à un mécanisme réel d’enchères où l’information en temps réel est traitée sur un terminal électronique de négociation boursière. Les ressources en actions, les ressources en capital « libre » (qui peut être échangé contre des actions) détenues par les participants à la négociation sont considérées comme des variables originales du modèle ainsi que la notion de structure de portefeuille cible des investisseurs. Les relations dérivées pour la demande nette agrégée sur le marché boursier permettent de décrire le prix des actions en tant que résultat de l’échange sur le marché dans l’approximation de l’équilibre walrasien. Les auteurs proposent une technique économétrique appropriée pour estimer les paramètres de la demande nette agrégée instantanée. La validité de la théorie est confirmée par une comparaison directe des prix modélisés et observés des actions ainsi que par l’évaluation des stratégies d’investissement basées sur la théorie. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper develops an analytical theory of share pricing under in a stock exchange environment. The approach proposed corresponds to a real auction mechanism where real-time information is processed on an electronic stock exchange trading terminal. Resources of shares, resources of “free” capital (that may be exchanged for shares) owned by participants of trading are considered as original variables of the model as well as investors’ notion of target portfolio structure. The relations derived for the aggregated net demand in the stock market permit to describe share pricing as a result of market exchange in the Walrasian equilibrium approximation. The authors offered an appropriate econometric technique for estimating parameters of instantaneous aggregated net demand. The validity of the theory is confirmed through a direct comparison of modeled and observed share prices as well as by evaluating investment strategies based on the theory. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | évaluation des actifs financiers |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | stratégies de portefeuille |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | prix des actions |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | bourse |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | équilibre walrasien |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | capital asset pricing |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | stock exchange |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | stock prices |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | portfolio strategies |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Walrasian equilibrium |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Kashina, Oksana |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Sahut, Jean-Michel |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Management & Prospective | Volume 38 | 4 | 2022-01-25 | p. 133-153 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-gestion-2000-2021-4-page-133?lang=en&redirect-ssocas=7080">https://shs.cairn.info/revue-gestion-2000-2021-4-page-133?lang=en&redirect-ssocas=7080</a> |
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