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Bid-Ask Price Competition with Asymmetric Information Between Market Makers

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Author Info
Calcagno, R.
Lovo, S.M.

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Abstract

We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Byesian game is proposed in which there is price competition between two market makers with two different information partition.

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Publisher Info
Paper provided by Catholique de Louvain - Center for Operations Research and Economics in its series Papers with number 9816.

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Length: 33 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:louvco:9816

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Related research
Keywords: INFORMATION FINANCIAL MARKET

Other versions of this item:

Find related papers by JEL classification:
D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information
D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Paul Schweinzer, 2006. "Sequential bargaining with pure common values," Discussion Papers 137, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
  2. Calcagno, R. & Lovo, S.M., 2002. "Market efficiency and price formation when dealers are asymmetrically informed," Discussion Paper 42, Tilburg University, Center for Economic Research. [Downloadable!]
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This page was last updated on 2008-10-3.

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