BibTex format
@unpublished{Bank:2018,
author = {Bank, P and Ekren, I and Muhle-Karbe, J},
title = {Liquidity in competitive dealer markets},
year = {2018}
}
Publications
Citation
RIS format (EndNote, RefMan)
TY - UNPB
AB - We study a continuous-time version of the intermediation model of Grossman and Miller (1988). 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 end-user market. This endogenously leads to a model with transient price impact. Smooth, diffusive, and discrete trades all incur finite but nontrivial liquidity costs, and can arise naturally from the liquidity takers' optimization.
AU - Bank,P
AU - Ekren,I
AU - Muhle-Karbe,J
PY - 2018///
TI - Liquidity in competitive dealer markets
ER -