Price Crashes, Information Aggregation, and Market-Making
构建了一个做市模型，交易者拥有私有异质信息，做市商策略性定价以最大化利润，发现均衡价格在订单流上存在不连续性，可解释为价格崩溃。
We present a model of market-making in which traders possess private and heterogeneous information, and the market-maker acts strategically to maximize profits. Thus, the market-maker must now consider that the prices he sets affect both the information he acquires (through the order flow) and the amount of aggregated information he releases back to the market. We show that the equilibrium price as a function of the order flow displays a discontinuity. This discontinuity can be interpreted as a price crash, since an arbitrarily small change in underlying market variables can lead to a large change in price. At this point, there is also a discontinuity in the information content of price.Journal of Economic LiteratureClassification Numbers: D82, D84, G14, G20.