Sannikov, Yuliy; Skrzypacz, Andrzej - 2016
. Agents receive private taste/inventory shocks and trade continuously. Agents differ in their need for trade as well as the … cost to hold excessive inventory. In equilibrium, trade is gradual. Trading speed depends on the number and market power of … participants, and trade among large market participants is slower than that among small ones. Price has momentum due to the actions …