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q-fin.TR2023
Optimal execution and speculation with trade signals
Peter Bank, Álvaro Cartea, Laura Körber
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of lim…
q-fin.TR2018
Liquidity in Competitive Dealer Markets
Peter Bank, Ibrahim Ekren, Johannes Muhle-Karbe
We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' dem…