Strategic Liquidity Provision in Limit Order Markets

DOI10.3982/ECTA10018zbMath1274.91191OpenAlexW2098970411MaRDI QIDQ2857049

Shmuel Baruch, Kerry Back

Publication date: 31 October 2013

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta10018

zbMATH Keywords

nonlinear pricingliquiditymarket microstructurelimit ordersmarket makersdealerstrading game

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Other game-theoretic models (91A40)

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A bidding game with heterogeneous players ⋮ A dynamic model of the limit order book ⋮ Tail expectation and imperfect competition in limit order book markets

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