Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

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Lawrence R. Glosten, Paul Milgrom (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(85)90044-3

@article{r1985bid,
  title  = {Bid, ask and transaction prices in a specialist market with heterogeneously informed traders},
  author = {Glosten, Lawrence R. and Milgrom, Paul},
  year   = {1985},
  journal = {Journal of Financial Economics},
  doi    = {10.1016/0304-405x(85)90044-3}
}

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