Episodic Liquidity Crises: Cooperative and Predatory Trading
通过连续时间交易博弈和跨期框架，解释市场参与者合作破裂如何导致间歇性流动性危机，并分析跨市场合作对危机频率和传染的影响。
ABSTRACT We describe how episodic illiquidity arises from a breakdown in cooperation between market participants. We first solve a one‐period trading game in continuous‐time, using an asset pricing equation that accounts for the price impact of trading. Then, in a multi‐period framework, we describe an equilibrium in which traders cooperate most of the time through repeated interaction, providing apparent liquidity to one another. Cooperation breaks down when the stakes are high, leading to predatory trading and episodic illiquidity. Equilibrium strategies that involve cooperation across markets lead to less frequent episodic illiquidity, but cause contagion when cooperation breaks down.