We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Bayesian game is proposed in which there is price competition between two market makers with two different information partitions. At each...

We study the efficiency of the equilibrium price in a centralized, orderdriven market where many asymmetrically informed traders are active for many periods. We show that asymmetries of information can lead to suboptimal information revelation with respect to the symmetric case. In particular,...