The Dynamics of Dealer Markets Under Competition
分析了竞争性做市商在证券市场的交易行为，推导了报价和库存的均衡分布，并探讨了市场价差的影响因素。
ABSTRACT The behavior of competing dealers in securities markets is analyzed. Securities are characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of dealers are derived under alternative assumptions about the degree to which transactions are correlated across stocks at a given time and over time in a given stock. The conditions for interdealer trading are specified, and the equilibrium distribution of dealer inventories and the equilibrium market spread are derived. Implications for the structure of securities markets are examined.