Thierry Foucault,Stefano Lovo, Jean-Edouard Colliard Oct 27,2022
We let “Algorithmic Market-Makers” (AMMs), using Q-learning algorithms, choose prices for a risky asset when their clients are privately informed... Read More
Ana Babus , Cecilia Parlatore Apr 30,2021
We study the determinants of asset market fragmentation in a model with strategic investors that disagree about the value of... Read More
Published: Journal of Financial Economics, 2022, 145(), 876-908Jing Huang,Jidong Zhou, Zhiguo He Nov 24,2020
Open banking facilitates data sharing consented by customers who generate the data, with a regulatory goal of promoting competition between... Read More
Christian Heyerdahl-Larsen, Philipp Illeditsch Dec 13,2019
We develop an overlapping generations model with disagreement about the cross-sectional distribution of investors’ preferences and beliefs. This disagreement implies... Read More
Benjamin Lester,Ali Shourideh,Venky Venkateswaran, Ariel Zetlin-Jones Jul 06,2018
We incorporate a search-theoretic model of imperfect competition into an otherwise standard model of asymmetric information with unrestricted contracts.... Read More