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 a dynamic limit order market as a stochastic sequential game. Since the model is analytically intractable, we provide an algorithm based on Pakes McGuire (2001) to find a stationary equilibrium, we generate artifical time series and perform comparative dynamics. As we know the data...

We consider an <i>M</i>/<i>M</i>/1 queueing system with impatient consumers who observe the length of the queue before deciding whether to buy the product. The product may have high or low quality, and consumers are heterogeneously informed. The firm chooses a slow or (at a cost) a fast service rate. In...

We consider a rationing mechanism for selling a common-value object. Under certain conditions, the seller earns higher revenue from rationing the object, rather than holding a second-price auction. The mechanism is formally equivalent to dividing the object into k units, and allocating (1/k)...

We model an infinite horizon trading game of a limit order market with informed traders. Agents with a private and common value motive for trade randomly arrive in a market and may either post prices (submit limit orders) or accept posted prices (submit market orders). If their orders have not...

We consider a rationing mechanism for selling a common-value object. Under certain conditions, the seller earns higher revenue from rationing the object, rather than holding a second-price auction. The mechanism is formally equivalent to dividing the object into k units, and allocating (1/k)...

We consider a model of trade in a limit order market for a single asset, and examine the properties of the microstructure noise (i.e., the difference between the transaction price and the fundamental value). The asset has a common value; in addition, each trader has a private value for it....