Market making with asymmetric information and inventory risk

DOI10.1016/J.JET.2016.01.005zbMATH Open1369.91061OpenAlexW2299163772MaRDI QIDQ281334FDOQ281334

Authors: 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

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zbMATH Keywords

bid-ask spreadasymmetric informationilliquidityimperfect competitionmarket making

Mathematics Subject Classification ID

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

Cites Work

• Over-the-Counter Markets
• Portfolio Selection with Transaction Costs
• 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

Cited In (11)

• Market-makers' supply and pricing of financial market liquidity.
• Market making with alpha signals
• Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis
• Dynamic model of market with uninformed market maker.
• Dealing with the inventory risk: a solution to the market making problem
• Market-making strategy with asymmetric information and regime-switching
• Optimal investment, derivative demand, and arbitrage under price impact
• Bid-Ask Price Competition with Asymmetric Information between Market-Makers
• Market-maker, inventory control and foreign exchange dynamics
• Market-making with search and information frictions
• The effect of market power on risk-sharing

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