Competing market makers,liquidity provision,and bid-ask spreads $

Keywords

Bid–ask spread, Ask price, Market liquidity, Bid price, Business

References

• Specialist Gross Trading Revenues at the New York Stock ExchangeGeorge Sofianos — 1998
• Specialist Participation and Limit OrdersOleg Bondarenko, Jaeyoung Sung — 2001
• FX Spreads and Dealer Competition Across the 24-Hour Trading DayRoger D. Huang, Ronald W. Masulis — 1999
• Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?William G. Christie, Paul Schultz — 1994
• Price Competition between Market MakersJürgen Dennert — 1993
• The Trades of Market Makers: An Empirical Analysis of NYSE SpecialistsJoel Hasbrouck, George Sofianos — 1993
• Long‐Lived Private Information and Imperfect CompetitionCraig W. Holden, Avanidhar Subrahmanyam — 1992
• PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS*David Easley, Maureen O’Hara — 1987
• Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?William G. Christie, Jeffrey H. Harris, Paul Schultz — 1994
• Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersLawrence R. Glosten, Paul Milgrom — 1985
• Informed Speculation with Imperfect CompetitionAlbert S. Kyle — 1989
• Insider Trading, Liquidity, and the Role of the Monopolist SpecialistLawrence R. Glosten — 1989
• Liquidity Provision with Limit Orders and a Strategic SpecialistDuane J. Seppi — 1997
• Insider Trading and the Bid-Ask SpreadCharlie Charoenwong, Kee H. Chung — 1998
• Risk Aversion, Market Liquidity, and Price EfficiencyAvanidhar Subrahmanyam — 1991
• Competition and Collusion in Dealer MarketsPrajit K. Dutta, Ananth Madhavan — 1997
• Time and the Process of Security Price AdjustmentDavid Easley, Maureen O’Hara — 1992
• The Components of the Bid-Ask Spread: A General Approach, Reviews of Financial StudiesRoger D. Huang, Hans R. Stoll — 1997
• Estimating the components of the bid/ask spreadLawrence R. Glosten, Lawrence Harris — 1988
• A SPECIALIST'S QUOTED DEPTH AS A STRATEGIC CHOICE VARIABLE: AN APPLICATION TO SPREAD DECOMPOSITION MODELSCecilia Caglio, Kenneth A. Kavajecz — 1996

Cited by

• A Dynamic Market Microstructure Model with Market Orders and Random Order Book DepthJoerg Osterrieder — 2005
• Arbitrage, the limit order book and market microstructure aspects in financial market modelsOsterrieder, Jörg Robert — 2007
• Evolutionary mechanism design using agent-based modelsXinyang Li — 2012
• Market Microstructure and Spread Pattern in the JASDAQ MarketJun Uno, Takeshi Shimatani, Tokiko Shimizu — 2002
• Rational Quantitative Trading in Efficient MarketsStefano Rossi, Katrin Tinn — 2021
• Insider Trading with Imperfectly Competitive Market MakersKatsumasa Nishide — 2006
• Liquidation in the Face of Adversity: Stealth vs. Sunshine TradingTorsten Schoeneborn, Alexander Schied — 2007
• Specialist Participation and Limit OrdersOleg Bondarenko, Jaeyoung Sung — 2001
• High-Frequency Trading CompetitionJonathan Brogaard, Corey Garriott, Anna Pomeranets — 2018
• Trend arbitrage, bid-ask spread and market dynamicsNikolai Zaitsev — 2006
• Understanding Bona Fide Option Market MakersHee Su Roh — 2016
• Introducing a spread into the Kyle modelMarcus Salomonsson — 2009
• Concentrated Equilibrium and Intraday Patterns in Financial MarketsRyosuke Ishii, Katsumasa Nishide — 2013
• DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKETLing‐Yun He, Feng Zheng — 2010
• Dealer Attention, the Speed of Quote Adjustment to Information, and Net Dealer RevenueAlex Boulatov, Shane A. Johnson, Brian Hatch — 2009
• Optimal execution with nonlinear impact functions and trading-enhanced riskRobert Almgren — 2003
• Small Firm Effect, Liquidity and Security ReturnsMichael E. Drew, Alastair Marsden, Madhu Veeraraghavan — 2006
• Market Microstructure and Price DiscoveryPaul C. Kettler, Aleh Yablonski, Frank Proske — 2013
• Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity ProvidersAlex Boulatov, Thomas J. George — 2013
• The optimal bid/ask spread in a Specialist SystemRosella Castellano, Roy Cerqueti — 2011

Related papers

• The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidityHaijun Yang, Hengshun Ge, Ying Luo — 2020
• What Explains the Bid-Ask Spread Decline after Nasdaq Reforms?Yan He, Chunchi Wu — 2003
• Chinese stock bid-ask spread estimation and industry analysisCunzhi Tian, Miao Hongwei — 2012
• Bid-ask spreads in the market for forward exchangeLaurence Booth — 1984
• Liquidity, Durations and Bid-Ask Spread in Limit Order MarketsRanjan R. Chakravarty, Sudhanshu Sekhar Pani — 2018
• The Bid-Ask Bias and The Size Effect: A Test of the Blume-Stambaugh Bid-Ask Bias Effect HypothesisDavid P. Echevarria, Ben S. Branch — 1998
• Understanding liquidity: a closer look at the limit order bookGonzalo Rubio, Mikel Tapia, Miguel Ángel Martínez Sedano — 2000