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 stage players set bid and ask prices simultaneously and then trade …

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, we assess that the more precise the information the higher the … incentive to reveal it, and that the value of private information is related to the volume of exogenous trade present on the …

volatility. We separate liquidity-driven (transitory) volatility from information-driven (long run) volatility using a dynamic … fluctuations in long run volatility even after controlling for the incoming order flow. The book is less informative for large …

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 Byesian game is proposed in which there is price competition between two market makers … with two different information partition. …

Recent contributions to microstructure theory hint at commonalities in the price-depth pairs which constitute the open … variation exhibit specific dynamics. When we exploit results from microstructure theory to empirically assess whether the …

price volatility affect future trading activity and market resiliency, and discuss the results in the light of predictions … microstructure theory. We test these hypotheses with a new econometric methodology for the analysis of multivariate count processes. …