We model procurement auctions held by institutional traders seeking fulfillment for large trades. The dealer who wins such an auction might fill the order out of inventory or access the market for additional volumes. How many dealers should the trader contact? There is a general tradeoff: an...

Many financial arrangements reference market prices that are yet to be realized at the time of contracting and consequently susceptible to manipulation. Two of the most common such arrangements are: (i) market-on-close contracts, which reference the price prevailing at the end of an execution...

We study liquidity provision in fragmented markets. Market makers intermediate heterogeneous order flows, trading off expected spread revenue and inventory costs. Portfolio considerations to diversify inventory risk reveal that market makers have an incentive to siphon certain orders, thus...