We model a dynamic limit order market as a stochastic sequential game with rational traders. Since the model is analytically intractable, we provide an algorithm based on <link rid="b43">Pakes and McGuire (2001)</link> to find a stationary Markov-perfect equilibrium. We then generate artificial time series and perform...

Firms raise money from banks and the bond market. Banks sell loans in a secondary market to recycle their funds or to trade on private information. Liquidity in the loan market depends on the relative likelihood of each motive for trade and affects firms' optimal financial structure. The...