Liquidity Provision with Adverse Selection and Inventory Costs
Published Online:8 Sep 2022https://doi.org/10.1287/moor.2022.1294
References
- [1] (1998) Logconcavity vs. logconvexity: A complete characterization. J. Econom. Theory 80(2):350–369.Crossref, Google Scholar
- [2] (2019) On competitive nonlinear pricing. Theoret. Econom. 14(1):297–343.Crossref, Google Scholar
- [3] (2013) Strategic liquidity provision in limit order markets. Econometrica 81(1):363–392.Crossref, Google Scholar
- [4] (2021) Liquidity in competitive dealer markets. Math. Finance 31(3):827–856.Crossref, Google Scholar
- [5] (1999) Nonlinear Programming, 2nd ed. (Athena Scientific, Belmont, MA).Google Scholar
- [6] (2000) Competing mechanisms in a common value environment. Econometrica 68(4):799–837.Crossref, Google Scholar
- [7] (2013) Corrigendum to “Competing mechanisms in a common value environment.” Econometrica 81(1):393–406.Crossref, Google Scholar
- [8] (2019) Trading under market impact: Crossing networks interacting with dealer markets. J. Econom. Dynam. Control 100:131–151.Crossref, Google Scholar
- [9] (2020) Informed trading, limit order book and implementation shortfall: Equilibrium and asymptotics. Preprint, submitted April 2, https://dx.doi.org/10.2139/ssrn.3551166.Google Scholar
- [10] (2019) Information and trading targets in a dynamic market equilibrium. J. Financial Econom. 132(3):22–49.Crossref, Google Scholar
- [11] (1965) Increasing properties of Polya frequency functions. Ann. Math. Statist. 36(1):272–279.Crossref, Google Scholar
- [12] (1989) Insider trading, liquidity, and the role of the monopolist specialist. J. Bus. 62(2):211–235.Crossref, Google Scholar
- [13] (1981) Optimal dealer pricing under transactions and return uncertainty. J. Financial Econom. 9(1):47–73.Crossref, Google Scholar
- [14] (2002) Preserving log-concavity under convolution. Econometrica 70(3):1253–1254.Crossref, Google Scholar
- [15] (2014) Log-concavity and strong log-concavity: A review. Statist. Surveys 8:45–114.Crossref, Google Scholar
- [16] (1971) The only game in town. Financial Analysts J. 22:12–14.Google Scholar
- [17] (1998) Ordinary Differential Equations (Springer, New York).Crossref, Google Scholar

