| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10850 |
| DP10850 On Competitive Nonlinear Pricing | |
| François Salanié; Thomas Mariotti; Andrea Attar | |
| 发表日期 | 2015-09-27 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Many financial markets rely on a discriminatory limit-order book to balance supply and demand. We study these markets in a static model in which uninformed market makers compete in nonlinear tariffs to trade with an informed insider, as in Glosten (1994), Biais, Martimort, and Rochet (2000), and Back and Baruch (2013). We analyze the case where tariffs are unconstrained and the case where tariffs are restricted to be convex. In both cases, we show that pure-strategy equilibrium tariffs must be linear and, moreover, that such equilibria only exist under exceptional circumstances. These results cast doubt on the stability of even well-organized financial markets. |
| 主题 | Financial Economics |
| 关键词 | Adverse selection Competing mechanisms Limit-order book |
| URL | https://cepr.org/publications/dp10850 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539679 |
| 推荐引用方式 GB/T 7714 | François Salanié,Thomas Mariotti,Andrea Attar. DP10850 On Competitive Nonlinear Pricing. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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