Related papers: Inside Trading, Public Disclosure and Imperfect Co…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
We consider a sequential decision-making setting where, at every round $t$, a market maker posts a bid price $B_t$ and an ask price $A_t$ to an incoming trader (the taker) with a private valuation for one unit of some asset. If the trader's…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
On ad exchange platforms the place for advertisement is sold through different kinds of auctions. However, it is not uncommon the situation where the seller repeatedly encounters only one buyer, thus the posted price auction degenerates…
A digital goods auction is a type of auction where potential buyers bid the maximal price that they are willing to pay for a certain item, which a seller can produce at a negligible cost and in unlimited quantity. To maximise her benefits,…
I study sequential contests where the efforts of earlier players may be disclosed to later players by nature or by design. The model has a range of applications, including rent seeking, R&D, oligopoly, public goods provision, and tragedy of…
We study a market for private data in which a data analyst publicly releases a statistic over a database of private information. Individuals that own the data incur a cost for their loss of privacy proportional to the differential privacy…
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competing market makers. We assume that the competing market makers…
In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading times, we prove that Kyle's equilibrium is not stable. These…
Diffusion auction refers to an emerging paradigm of online marketplace where an auctioneer utilises a social network to attract potential buyers. Diffusion auction poses significant privacy risks. From the auction outcome, it is possible to…
Privacy-preserving cryptocurrency exchanges (shielded AMMs, batched swap auctions, sealed-bid order-flow auctions) alter what the pricing mechanism observes about order flow. We derive the unique linear Kyle equilibrium when a committed…
This paper examines competitive information disclosure in search markets with a mix of savvy consumers, who search costlessly, and inexperienced consumers, who face positive search costs. Savvy consumers incentivize truthful disclosure;…
Many auction settings implicitly or explicitly require that bidders are treated equally ex-ante. This may be because discrimination is philosophically or legally impermissible, or because it is practically difficult to implement or…
Before a person can be prosecuted and convicted for insider trading, he must first execute the overt act of trading. If no sale of security is consummated, no crime is also consummated. However, through a complex and insidious combination…
We consider an environment where sellers compete over buyers. All sellers are a-priori identical and strategically signal buyers about the product they sell. In a setting motivated by on-line advertising in display ad exchanges, where firms…
We show that the problem of existence of equilibrium in Kyle's continuous time insider trading model can be tackled by considering a forward-backward system coupled via an optimal transport type constraint at maturity. The forward component…
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find no significant difference between the…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
Two long-lived senders play a dynamic game of competitive persuasion. Each period, each provides information to a single short-lived receiver. When the senders also set prices, we unearth a folk theorem: if they are sufficiently patient,…
Bidding is a key element of search advertising, but the variation in bidders' valuations and strategies is often overlooked. Disclosing bid information helps uncover this heterogeneity and enables platforms to tailor their disclosure…