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...

We develop a simple model of competition in a loan market with no asymmetric information. Lenders compete by offering loan contracts which are a loan amount and an interest rate. A borrower may take up more than one contract and has an incentive to default which is increasing in the amount that...

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 develop a model in which two profit maximizing exchanges compete for IPO listings. They choose the listing fees paid by firms wishing to go public and control the trading costs incurred by investors. All firms prefer lower costs, however firms differ in how they value a decrease in trading...

We present a microstructure model of competition between exchanges for order flow based on liquidity provision. Different pairings of pure limit order markets (PLM) and hybrid specialist/limit order markets (HM) are considered. We find that neither a pure nor a hybrid market structure is...

We consider firms that, all else equal, wish to minimize variability in their internal capital (due to convex costs of raising external funds). The firms can hedge the cash flow risk of the project, but not that of winning or losing the auction. We characterize optimal hedging and bidding...