Articlehybrid2018

Liquidity in Competitive Dealer Markets

Peter Bank · Ibrahim Ekren · Johannes Muhle‐Karbe

20 citations0/0 files storedMathematical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

Abstract We study a continuous‐time version of the intermediation model of Grossman and Miller. To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs, who can in turn gradually transfer these positions to an exogenous open market with finite liquidity. This endogenously leads to transient price impact in the dealer market. Smooth, diffusive, and discrete trades all incur finite but nontrivial liquidity costs, and can arise naturally from the liquidity takers' optimization.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 20 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 2006The Malliavin Calculus and Related Topics 2001Optimal execution of portfolio transactions 1988Liquidity and Market Structure 1981Optimal dealer pricing under transactions and return uncertainty 2002Equilibrium and welfare in markets with financially constrained arbitrageurs 1998Optimal control of execution costs 2005Demand-Based Option Pricing

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.