Market making with asymmetric information and inventory risk
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Cites work
- Continuous Auctions and Insider Trading
- Dynamic trading and asset prices: Keynes vs. Hayek
- Entry and exit in OTC derivatives markets
- Informed Speculation with Imperfect Competition
- Informed Trading and Portfolio Returns
- Over-the-Counter Markets
- Portfolio Selection with Transaction Costs
- Price inference in small markets
- Strategic supply function competition with private information
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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