Quotes, Prices, and Estimates in a Laboratory Market
研究两个不知情的做市商与信息不对称的投资者交易时的行为，发现做市商通过报价防范逆向选择和控制库存，对信息较少的投资者交易反应更谨慎，且报价和价格的时间序列受信息环境影响。
ABSTRACT This study examines the behavior of laboratory markets in which two uninformed market makers compete to trade with heterogeneously informed investors. The data provide three main results. First, market makers set quotes to protect against adverse selection and to control inventory. Second, when investors are less well‐informed, their trades are less reliable measures of their information, and market makers respond to those trades with greater skepticism. Third, errors in market makers' reactions to trades cause the time‐series behavior of quotes and prices to depend on the information environment in ways beyond those captured in extant theory.