The paper studies the equilibrium value of bid-ask spreads and time- to-trade in a continuous-time, intermediated financial market. The endogenous spreads are the price at which brokers are willing to offer immediacy. In case intermediaries pay trading costs, it includes them too. We determine...

We develop a theory of equilibrium market volatility in a general equilibrium duopoly with complete information. The resulting economic system possesses a property, which can be described as ‘natural volatility' of markets, even if players have complete information.Economy is described as a...

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that render the market complete. I show a major difference in equilibrium behaviour between models with constant absolute risk aversion (CARA) and non-CARA preferences. First, when...