Reference

Ailsa Roell (University of Columbia), “Frontrunning in a Model of Market Making with Inventory”, Fédération des Banques Françaises Seminar, TSE, April 30, 2012, 12:30–14:00, room MF 323.

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.

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