Liquidity provision in capacity-constrained markets

DOI10.1017/S1365100510000714MaRDI QIDQ2843360zbMATH OpenOpenAlexFDO

Authors Pierre-Olivier Weill

Publication date 22 August 2013

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1365100510000714

zbMATH Keywords

market makers inventory managementsearchtime-varying bid-ask spread

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Microeconomic theory (price theory and economic markets) (91B24) Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

• Market-makers' supply and pricing of financial market liquidity.
• How much market making does a market need?
• Liquidity in competitive dealer markets
• Optimal liquidity provision
• Competing Mechanisms in a Common Value Environment

Cites work

• Leaning Against the Wind
• Over-the-Counter Markets
• Sufficient Conditions in Optimal Control Theory

Cited in

(7)

• Market-makers' supply and pricing of financial market liquidity.
• Liquidity of secondary capital markets: Allocative efficiency and the maturity composition of the capital stock
• Market based mechanisms for incentivising exchange liquidity provision
• What constrains liquidity provision? Evidence from institutional trades
• Market making with minimum resting times
• Liquidity in competitive dealer markets
• Liquidity Provision with Adverse Selection and Inventory Costs

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