This paper analyses the impact of a minimum price variation (tick) and time priority on the quote dynamics and on trading costs when competition for the order flow is dynamic. It finds that convergence to competitive prices can take time and that the speed of convergence is influenced by the...

We analyze price competition between dealers in a security market where the bidding process is sequential. The model provides an interpretation for the evolution of the best ask and bid prices, in-between transactions. We find that convergence to the competitive ask and bid prices can take time....

We analyze price competition between dealers in a security market where the bidding process is sequential. The model provides an interpretation for the evolution of the best ask and bid prices, in between transactions, in security markets. We find that convergence to the competitive ask and bid...

Recent empirical findings suggest that spreads quoted in dealership markets might be uncompetitive. This paper analyzes theoretically if price competition between risk--averse market--makers leaves room for implicit collusive behavior. We compare the spread and risk--sharing efficiency arising...