Seminar

Frontrunning in a Model of Market Making with Inventory

Ailsa Roell (University of Columbia)

April 30, 2012, 12:30–14:00

Room MF 323

Fédération des Banques Françaises Seminar

Abstract

The paper considers the impact of differences in information about participants’ order placement strategies on market pricing and liquidity in an OLG market making model with risk averse market makers.