In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book...

In recent years the Value at Risk (VaR) concept for measuringdownside risk has been widelystudied. VaR basically is a summary statistic that quantifies theexposure of an asset or portfolio tomarket risk, or the risk that a position declines in value withadverse market price changes. Threeparties...

This paper argues that market makers' presence is uncertain over any short time interval, as their operations are subject to constraints of, e.g., capital, technology, and attention. Such uncertain market making implies a random pricing equilibrium with new implications on market quality. A...

In a limit order market, orders submitted at about the same time are subject to random latencies and will be queued accordingly. A theoretical model captures the strategic behavior of market makers who, in anticipation of such queuing uncertainty, fiercely compete for the rent in liquidity...

In recent years the Value at Risk (VaR) concept for measuringdownside risk has been widelystudied. VaR basically is a summary statistic that quantifies theexposure of an asset or portfolio tomarket risk, or the risk that a position declines in value withadverse market price changes. Threeparties...