Résumé
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’ dynamic pricing strategies are optimal no matter the private information each dealer may possess. In a generalized version of the Glosten and Milgrom model, these equilibria deliver price dynamics reminiscent of well-known stylized facts: price/trading-flow correlation, volatility clustering, price bubble and inventory/inter-dealer trading correlation.
Mots-clés
Financial Market Microstructure; Belief-free Equilibria; Informed Market Makers; Price Volatility;
Codes JEL
- C72: Noncooperative Games
- C73: Stochastic and Dynamic Games • Evolutionary Games • Repeated Games
- G1: General Financial Markets
- G12: Asset Pricing • Trading Volume • Bond Interest Rates
Remplace
Johannes Hörner et Stefano Lovo, « Belief-free Price Formation », TSE Working Paper, n° 17-790, mars 2017.
Référence
Johannes Hörner, Stefano Lovo et Tristan Tomala, « Belief-free Price Formation », Journal of Financial Economics, vol. 127, n° 2, février 2018, p. 342–365.
Voir aussi
Publié dans
Journal of Financial Economics, vol. 127, n° 2, février 2018, p. 342–365