The Dynamics of Dealer Markets Under Competition
分析证券市场中竞争性做市商的行为，推导其报价决策、库存分布和市场价差，并探讨对市场结构的影响。
The behavior of competing dealers in securities markets is analyzed. Securities are characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of dealers are derived under alternative assumptions about the degree to which transactions are correlated across stocks at a given time and over time in a given stock. The conditions for interdealer trading are specified, and the equilibrium distribution of dealer inventories and the equilibrium market spread are derived. Implications for the structure of securities markets are examined.