We have established that the trade concentration at the end period indeed takes place as is expected. Looking at this from another viewpoint, market frenzy does not occur, although this fact is mostly due to the fact that there are a lot of CDM credits available at each moment. As is stressed, this is a mere example based on several assumptions imposed for the sake of convenience. One can make up an enormous list of assumptions to be removed and situations to be considered. Besides, actual data are piling up everyday, which would suggest the future agenda of research. As is mentioned in the beginning, this is meant to be an attempt to show the possibility of research.


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Almgren, Robert, 2003, Optimal execution with nonlinear impact functions and tradingen-hanced risk, Applied Mathematical Finance, 10, 1-18.

Bertsimas, Dimitris, and Andrew W. Lo, 1998, Optimal control of execution costs, Journal of Financial Markets, 1, 1-50.

Ryosuke Ishii, 2008, Optimal Execution in a Market with Small Investors, KIER discussion paper series, Kyoto Institute of Economic Research, Discussion Paper No.653. Albert S. Kyle, 1985, Continuous Auctions and Insider Trading, Econometrica, Vol. 53, No. 6, 1315-1336.

Huberman, Gur, and Werner Stanzl, 2000, Optimal liquidity trading, Yale ICF Working Paper No. 00-21.

Obizhaeva, Anna, and Jiang Wang, 2005, Optimal trading strategy and supply/demand dynamics, AFA 2006 Boston Meetings Paper.

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