We model a dynamic limit order market as a stochastic sequential game. Since the model is analytically intractable, we provide an algorithm based on Pakes and McGuire (2001) to find a stationary Markov-perfect equilibrium. Given the stationary equilibrium, we generate artificial time series and...

We consider informed traders in a limit order market for a single asset. The asset has a common value; in addition, each trader has a private value for it. Traders randomly arrive at the market, after choosing whether to purchase information about the common value. They may either post prices or...

We consider a dynamic limit order market in which traders optimally choose whether to acquire information about the asset and the type of order to submit. We numerically solve for the equilibrium and demonstrate that the market is a "volatility multiplier": prices are more volatile than the...

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...

We model endogenous information acquisition in a limit order market for a single financial asset. The asset has a common value; in addition, each trader has a private value for it. Traders randomly arrive at the market, after choosing whether to purchase information about the common value. They...

We provide a model of bookbuilding in IPOs, in which the issuer can choose to ration shares. We consider two allocation rules. Under share dispersion, before informed investors submit their bids, they know that, in the aggregate, winning bidders will receive only a fraction of their demand. We...

We develop a dynamic model of price competition in broker and dealer markets. Competing market makers quote bid-ask spreads, and competing brokers choose commissions to be paid by an investor. Investors, who submit either market or limit orders, choose a broker to minimize total transaction...