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| Author: | Bondarenko, O. |
| Title: | Competing market makers, liquidity provision, and bid-ask spreads |
| Journal: | Journal of Financial Markets
2001 : JUN, VOL. 4:3, p. 269-308 |
| Index terms: | Dealers Bidding Asymmetric information Competitive equilibrium |
| Language: | eng |
| Abstract: | The author develops a dynamic market microstructure model of liquidity provision in which M strategic market makers compete in price schedules for order flow from informed and uninformed traders. In particular, a new empirical measure of market competitiveness is proposed which can be estimated from the history of transaction prices and trading volumes. |
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