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Paper detail

Liquidity in Competitive Dealer Markets

We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs, who can in turn gradually transfer these positions to an exogenous open market with finite liquidity. This endogenously leads to transient price impact in the dealer market. Smooth, diffusive, and discrete trades all incur finite but nontrivial liquidity costs, and can arise naturally from the liquidity takers' optimization.

preprint2021arXivOpen access
Peter BankIbrahim EkrenJohannes Muhle-Karbe
q-fin.GNq-fin.PMq-fin.TR
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Open access3 authors3 topics
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Peter BankIbrahim EkrenJohannes Muhle-Karbe

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