Dynamic Thin Markets
构建了一个消费基础模型，其中所有机构交易者都意识到自己对价格的影响，研究双边市场势力如何改变均衡的效率和套利特性，并解释了供给冲击、订单拆分、套利限制等现象。
Large institutional investors dominate many financial markets. This paper develops a consumption-based model of markets in which all institutional traders recognize their impact on prices. Bilateral (buyer and seller) market power changes efficiency and arbitrage properties of equilibrium. Predictions match temporary and permanent price effects of supply shocks, order breakup, limits to arbitrage, nonneutrality of trading frequency, and real effects of shocks and announcements in periods other than event dates. Maximizing welfare and stabilizing liquidity through disclosure of information about fundamentals presents a trade-off. Equilibrium representation as “trading against price impact” provides a link with the industry's practice.