Strategic experimentation in a dealership market

Strategic experimentation in a dealership market

Market Makers learn not only by observing  the informational content  of the  orders they  receive ,but also by experimenting  through  the placement of orders with other market makers. However  while experimentation is a  topics widely analyzed in economics in general it has been scarcely dealt with in financial markets.

This is curious as financial microstructure can make use of the richness of high-frequency data to empirically estimate it.

To read more please download the book.

By: Massimo Massa ,Andrei Simonov

 

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