Belief-free Price Formation ∗
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DOI: 10.1016/j.jfineco.2017.11.004
Abstract: We analyze security price formation in a dynamic setting in which long-lived dealers repeatedly compete for trading with potentially informed retail traders. For a class of market microstructure models, we characterize equilibria in which dealers’… read more here.
Keywords: price; price formation; free price; belief free ... See more keywords