haku: @author Scheinkman, J. A. / yhteensä: 6
viite: 2 / 6
| Tekijä: | Madrigal, V. Scheinkman, J. A. |
| Otsikko: | Price crashes, information aggregation, and market-making |
| Lehti: | Journal of Economic Theory
1997 : JUL, VOL. 75:1, p. 16-63 |
| Asiasana: | MARKETS PRICES INFORMATION PROFIT |
| Kieli: | eng |
| Tiivistelmä: | This study presents a theory of market-making and price formation when traders possess private and diverse information. The study focuses on the idea that a market maker is in an informationally unique position because he can observe the flow of buy and sell orders which passes through him. The position allows market-maker to aggregate information from trading activity and use the information to earn speculative profits by means of appropriate pricing strategy. This creates incentives for strategic pricing which are not captured by standard Walrasian-type market clearing mechanisms. |
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