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 price functions on trading in the that asset (but not on trading in the other asset). Using...

We propose a new approach to adaptive multi-period trade execution which can be viewed as an extension of Grinold and Kahn (1995) and Almgren and Chriss (1999). Our methodology does not rely on any exogenous switching criteria but instead explicitly includes trading acceleration and deceleration...

The paper characterizes both the optimal (revenue-maximizing) and constrained-efficient (surplus maximizing) mechanisms for allocating a good to buyers who face budget constraints. With unequal budgets, this problem is that of asymmetric optimal mechanism design. Both the optimal and efficient...

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...

This paper characterizes the equilibrium stock price reaction to arbitrarily distributed signals. This stock price reaction is shown to be proportional to the Fisher score of the news calculated under the risk-neutral probability measure. The expression for the Fisher score takes a particularly...