Existence and Uniqueness of a Steady State for an OTC Market with Several Assets

TL;DR

This paper establishes the existence and uniqueness of a steady state in a class of OTC market models involving multiple assets, modeled through systems of ODEs, extending previous single-asset frameworks.

Contribution

It introduces a novel OTC market model with multiple assets and proves the existence and uniqueness of its steady state.

Findings

Existence of a steady state in multi-asset OTC markets

Uniqueness of the steady state under specified conditions

Extension of single-asset models to multi-asset scenarios

Abstract

We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.