Market making with asymmetric information and inventory risk

DOI10.1016/J.JET.2016.01.005zbMath1369.91061OpenAlexW2299163772MaRDI QIDQ281334

Yajun Wang, Hong Liu

Publication date: 11 May 2016

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2016.01.005

zbMATH Keywords

asymmetric informationimperfect competitionbid-ask spreadilliquiditymarket making

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

The effect of market power on risk-sharing ⋮ Market-making with search and information frictions ⋮ Optimal investment, derivative demand, and arbitrage under price impact

Cites Work

• Price Inference in Small Markets
• Strategic Supply Function Competition With Private Information
• Continuous Auctions and Insider Trading
• Informed Speculation with Imperfect Competition
• Dynamic Trading and Asset Prices: Keynes vs. Hayek
• Informed Trading and Portfolio Returns
• Entry and Exit in OTC Derivatives Markets
• Over-the-Counter Markets
• Portfolio Selection with Transaction Costs

This page was built for publication: Market making with asymmetric information and inventory risk