EconPapers    
Economics at your fingertips  
 

On Competitive Nonlinear Pricing

Andrea Attar, Thomas Mariotti and François Salanié ()
Additional contact information
Thomas Mariotti: Toulouse School of Economics

No 314, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: Many financial markets rely on a discriminatory limit-order book to balance supply and demand. We study these markets in a static model in which uninformed market makers compete in nonlinear tariffs to trade with an informed insider, as in Glosten (1994), Biais, Martimort, and Rochet (2000), and Back and Baruch (2013). We analyze the case where tariffs are unconstrained and the case where tariffs are restricted to be convex. In both cases, we show that pure-strategy equilibrium tariffs must be linear and, moreover, that such equilibria only exist under exceptional circumstances. These results stand in stark contrast with those obtained so far in the literature, reflecting different assumptions about the richness of the insider's information.

Keywords: Adverse Selection; Competing Mechanisms; Limit-Order Book (search for similar items in EconPapers)
JEL-codes: D43 D82 D86 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cta, nep-mic and nep-mst
Date: 2014-04-18, Revised 2014-04-18
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
ftp://www.ceistorvergata.it/repec/rpaper/RP314.pdf Main text (application/pdf)

Related works:
Working Paper: On Competitive Nonlinear Pricing (2018) Downloads
Working Paper: On Competitive Nonlinear Pricing (2018) Downloads
Working Paper: On Competitive Nonlinear Pricing (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:314

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
http://www.ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().

 
Page updated 2018-11-06
Handle: RePEc:rtv:ceisrp:314