Algorithmic Pricing and Liquidity in Securities Markets

Thierry Foucault,Stefano Lovo, Jean-Edouard Colliard   Oct 27,2022

Working Paper No.00081-00

We let “Algorithmic Market-Makers” (AMMs), using Q-learning algorithms, choose prices for a risky asset when their clients are privately informed... Read More

Technological Progress and Rent Seeking

Guillermo Ordonez, Vincent Glode   Nov 01,2022

Working Paper No.00082-00

We model firms' allocation of resources between surplus-creating (a.k.a., productive) and surplus-appropriating (a.k.a., rent-seeking) activities. We show that industry-wide technological... Read More

A Model of Informed Intermediation in the Market for Going Public

Aydogan Alti, Jonathan Cohn   Nov 01,2022

Working Paper No.00083-00

We present a model in which informed experts intermediate in the market for going public by acquiring private firms and... Read More

Economic Implications of Scaling Blockchains

Kose John,Thomas Rivera, Fahad Saleh   Nov 01,2022

Working Paper No.00075-01

We compare the economic implications of scaling blockchains under the Proof-of-Work (PoW) and Proof-of-Stake (PoS) consensus protocols. We study an... Read More

Trust in Signals and the Origins of Disagreement

Alice Hsiaw, Ing-Haw Cheng   Nov 14,2022

Working Paper No.00047-01

Why do individuals interpret the same information differently? We propose that individuals follow Bayes' Rule when forming posteriors with one exception:... Read More

The Limits of Multi-Dealer Platforms

Chaojun Wang   Nov 14,2022

Working Paper No.00084-00

On many important multi-dealer platforms, customers mostly request quotes from very few dealers. I build a model of multi-dealer platforms... Read More

Time Trumps Quantity in the Market for Lemons

Piero Gottardi,Humberto Moreira, William Fuchs   Nov 15,2022

Working Paper No.00085-00

We consider a dynamic adverse selection model where privately informed sellers of divisible assets can choose how much of their... Read More

Bayesian Doublespeak

Alice Hsiaw, Ing-Haw Cheng   Nov 15,2022

Working Paper No.00086-00

Why does misinformation persist, and how does it distort the long-run beliefs and actions of rational agents? Suppose receivers see... Read More

Providing Incentives with Private Contracts

Qing Liu, Lucy White Andrea Buffa   Nov 18,2022

Working Paper No.00073-01

Agents working together to produce a joint output care about each other’s incentives. Because real world contracts are typically private... Read More

Lending and Monitoring: Big Tech vs Banks

Catherine Casamatta,Rui xiong, Matthieu Bouvard   Nov 21,2022

Working Paper No.00087-00

We show that by lending to merchants and monitoring them, an e-commerce platform can price-discriminate between merchants with high and... Read More