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Algorithmic Pricing and Liquidity in Securities Markets

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

Strategic Fragmented Markets

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(), 876-908

Open Banking: Credit Market Competition When Borrowers Own the Data

Jing 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

Demand Disagreement

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

Screening and Adverse Selection in Frictional Markets

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