Competition and the Set of Allowable Prices |
Common terms and phrases
1/8's as compared 3A-F Relative welfare adverse selection analysis ARBITRAGE Chichilnisky and Geoffrey competing quoters continuous prices Alpha corner solution discrete prices discreteness of prices due to non-informational equilibrium expected profits expected trading profits EXPONENTIAL UTILITY facing continuous prices finer prices function approximation Geoffrey Heal Glosten Goetzmann Graciela Chichilnisky graph illustrates Jordi Galí large traders larger number Lawrence E marginal valuation Mark Broadie market order users Matthew Spiegel MONOPOLISTIC COMPETITION non-informational motives number of competing number of quoters offer schedule Paine Webber Paolo Fulghieri prices Alpha represents prices and prices prices get finer private information private valuation profit per trade proportion of trade represents the proportion restricted to 1/8's risk aversion risk neutral set of allowable Table 3A-F Relative trade due trader of type trading on 1/8's trading on pennies trading on private type when trading type z private U.S. dollars welfare by trader York Stock Exchange