Market Making, Prices, and Quantity Limits
构建了一个信息不对称下的价差与深度设定模型，发现均衡深度对信息不对称程度变化的敏感度高于价差，且深度可从0到无穷大变化，而价差始终为正且有限。
This article develops a model of spread and depth setting under asymmetric information where the equilibrium depth is proportionally more sensitive than the spread to changes in the degree of information asymmetry. The analysis uses a one-period model in which a risk-neutral, monopolistic market maker faces a price-sensitive liquidity trader and a better informed trader who is alternatively risk neutral and risk averse. The equilibrium depth can take values ranging from 0 to infinity, depending on the information asymmetry, the asset volatility, and the strength of the liquidity demand, while the spread remains positive and finite.