Competition and Information Production in Market Maker Models
研究做市商模型中信息生产的内生性，发现增加知情交易者数量可能降低价格信息含量，并讨论价格配置功能下的福利与监管含义。
Abstract: The microstructure literature models the mechanisms through which fundamental information is incorporated into market prices. This paper extends previous models by endogenising information production and analysing incentives for costly information production. In contrast to the existing literature, increasing the number of informed traders can result in reduced price informativeness. When prices have an allocative role this has welfare consequences: the regulatory implications of a dichotomy between private and public incentives for information gathering are discussed.