We propose a static equilibrium model for limit order book where $N\geq 1$ profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory. While the dealer's initial position plays a role...

The practice of retail internalization has been a controversial topic since the late 1990s. The crux of this debate is whether this practice benefits, via the price improvement relative to exchange, or disadvantages, via the reduced liquidity on exchange, retail traders.To answer this question...

In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading times, we prove that Kyle's equilibrium is not stable. These theoretical results are proven to hold irrespectively of...