英文标题：
《Liquidity in Competitive Dealer Markets》
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作者：
Peter Bank, Ibrahim Ekren, Johannes Muhle-Karbe
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最新提交年份：
2021
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英文摘要：
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 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.
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中文摘要：
我们研究了Grossman和Miller（1988）的中介模型的连续时间版本。也就是说，我们求解了流动性接受者的需求被具有二次库存成本的交易商吸收的竞争均衡价格，而交易商又可以将这些头寸逐渐转移到具有有限流动性的外生开放市常这内在地导致经销商市场的短暂价格影响。平滑的、扩散的和离散的交易都会产生有限但非平凡的流动性成本，并且可以自然地从流动性接受者的优化中产生。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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