Séminaire

Frontrunning in a Model of Market Making with Inventory

Ailsa Roell (University of Columbia)

30 avril 2012, 12h30–14h00

Salle MF 323

Fédération des Banques Françaises Seminar

Résumé

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.