DEALER INTERMEDIATION BETWEEN MARKETS
构建了交易商在垄断的客户-交易商市场与竞争的交易商间限价订单市场之间进行中介的动态模型，揭示了报价设定与库存管理行为，并利用欧洲主权债券市场数据检验了库存相关的零售价格离散。
We develop a dynamic model of dealer intermediation between a monopolistic customer–dealer market and a competitive interdealer limit order market. Dealers face inventory constraints and adverse selection. We characterize the optimal quote setting and inventory management behavior for both markets in closed form and reveal how price setting in one market segment influences quote behavior in the other. The framework is used to explore market stability issues of the two-tier market structure and delivers testable predictions about how the dispersion of retail prices is related to the state of the interdealer limit order book. Data from the European sovereign bond market is used to test for inventory related retail price dispersion.