We revisit Kyle’s (Econometrica 53:1315–1335, <CitationRef CitationID="CR11">1985</CitationRef>) model of price formation in the presence of private information. We begin by using Back’s (Rev Financ Stud 5(3):387–409, <CitationRef CitationID="CR1">1992</CitationRef>) approach, demonstrating that if standard assumptions are imposed, the model has a unique equilibrium solution...</citationref></citationref>

Using trade and quote data from the NYSE, we examine the relation between dealer attention, dealer revenue, and the probability of informed trade. We find that dealer revenue net of losses to better-informed traders in NYSE stocks is positively related to the speed at which quotes adjust to full...

We examine the impact on the quality of a securities market of hiding versus displaying orders that provide liquidity. Display expropriates informational rents from informed agents who trade as liquidity providers. The informed then exit liquidity provision in favor of demanding liquidity where...

We solve a multi-period model of strategic trading with long-lived information in multiple assets with correlated innovations in fundamental values. Market makers in each asset can only condition their pricing functions on trading in each asset. Using daily non-public data from the New York...

This paper analyzes the equilibrium trading strategies of informed traders in the presence of market closures defined as periodic predictable stops of trading. We construct a dynamic auction model based on rational strategic behavior with asymmetric information across the agents. Empirical...

Price quotes are a valuable commodity by themselves. This is a conundrum in the standard asset pricing framework. We study the value of access to accurate and timely prices in a market economy explicitly taking into account that in the U.S., exchanges have property rights in the price quotes...