COMPETING MECHANISMS IN A COMMON VALUE ENVIRONMENT

By Bruno Biais, David Martimort, Jean-Charles Rochet. 2000

362 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c563d3e107a082bc6cc8e15f7ae32b9515246726

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Citations in the corpus

Common Agency and the Revelation Principle (2001, background): “With a slight abuse of notation, define the set of actions (in A∗) that the agent can induce by sending some message to the principal as γj (C) ⊂ A∗.”
Can Brokers Have It All? On the Relation between Make-Take Fees and Limit Order Execution Quality: Can Brokers Have It All? (2016, neutral): “8 We thank the editor, Bruno Biais, and an anonymous referee for suggesting this modeling framework, which is motivated by Glosten (1994) and Biais, Martimort, and Rochet (2000).”
Limit order book as a market for liquidity (2001, neutral): “The parameters that differ across the examples are presented in Table 2.”
Estimating the Gains from Trade in Limit Order Markets (2006, neutral): “Biais, Martimort, and Rochet (2000) study imperfect competition among a finite number of traders that submit limit-order schedules and show that the limit-order book of Glosten (1994) obtains when the number of limit-order submitters becomes large.”
Modelling high-frequency limit order book dynamics with support vector machines (2015, background): “…and typically unvalidated mathematical assumptions on models, parameters may be unobservable, and the intensive computation required by statistical methods makes them difﬁcult to be deployed in real world environments (Parlour 1998, Biais et al. 2000, Bouchaud et al. 2002, Foucault et al. 2005).”
A Dynamic Model of the Limit Order Book (2009, neutral): “See also Biais, Martimort, and Rochet (2000) for a theoretical model in which market makers competing with supply schedules make positive profits. equilibria may be important, for example, in understanding dealer markets.22 The present paper focuses on competitive equilibria, since they are the…”
Equilibrium in a Dynamic Limit Order Market (2005, neutral): “( 5 ), if the market order is a buy order, Pt(¯x) = mt + St(¯x), and if it is a sell order,”
Price Discrimination and Imperfect Competition (2003, background): “Other related papers, covering a variety of applications, include Gal-Or (1991), Laffont and Tirole (1991), Biglaiser and Mezzetti (1993), Bond and Gresik (1996), Martimort (1996), Mezzetti (1997), Calzolari (2002), and Martimort and Stole (2003b).”
Market Architecture: Limit Order Books Versus Dealership Markets (2002, methodology): “This approach is used in Glosten (1994) and in Biais et al. (2000).”
Adverse Selection and Liquidity Distortion (2011, neutral): “Boyson et al. (2011) shows that most banks circumvent re sales by shifting to deposits, issuing equity, and cherry picking.”
Limit Order Markets: A Survey 1 (2008, background): “Biais, Martimort, and Rochet (2000) present an elegant analysis of contemporaneous imperfect competition.”
The Economics of Multidimensional Screening (2003, background): “For example, Biais, Martimort, and Rochet (2000) consider a market maker who sells a risky asset to a population of potential investors, characterized by two dimensions of adverse selection, θ = (θ1, θ2) (using our notation): θ1 corresponds to the investor’s fundamental information; i.e., his…”
Strategic Supply Function Competition with Private Information (2008, neutral): “Biais et al. (2000) in a common value environment show that adverse selection reduces the aggressiveness of competition in supply schedules of risk neutral uninformed market makers facing a risk averse informed trader who is subject also to an endowment shock.”