Asset prices are driven by public news and information that is often dispersed among many
market participants. These agents try to infer each other's information by analyzing price …

We survey the literature analyzing the price formation and trading process, and the
consequences of market organization for price discovery and welfare. We offer a synthesis …

ABSTRACT I show that the inventory risk faced by market‐makers has a first‐order effect on
option prices. I introduce a simple approach that decomposes the price impact of trades into …

We examine how biased financial reports (managed earnings) affect product market
competition and how product market competition affects incentives to bias financial reports …

I study a general class of noisy rational expectations models that nests the standard and
models, but relaxes the usual assumption of joint normality of asset pay-offs and supply, and …

We study trading behavior and the properties of prices in informationally complex markets.
Our model is based on the single-period version of the linear-normal framework of [Kyle …

We consider the general problem of a set of agents trading a portfolio of assets in the
presence of transient price impact and additional quadratic transaction costs and we study …

We survey the literature analysing the price formation and trading process, and the
consequences of market organization for price discovery and welfare. We develop a united …

I present an overview of some recent advancements on the empirical analysis and
theoretical modeling of the process of price formation in financial markets as the result of the …

We characterize the unique equilibrium in an economy populated by strategic CARA
investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our …