Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56270 
Autor:innen: 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
SSE/EFI Working Paper Series in Economics and Finance No. 713
Verlag: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
Zusammenfassung: 
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier research. The spread is endogenized, and two testable predictions of the model are generated. The first is that the spread is increasing in the standard deviation of the fundamentals. The second is that it is independent of the standard deviation of noise trades.
Schlagwörter: 
market microstructure
spread
market maker
JEL: 
D53
D82
G12
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
297.13 kB





Publikationen in EconStor sind urheberrechtlich geschützt.