We analyze price transparency in a dynamic market with private information and interdependent values. Uninformed buyers … compete inter- and intra-temporarily for a good sold by an informed seller suffering a liquidity shock. We contrast public …

their prices after observing trades, as predicted by economic theory. However, in contrast to theory, AMMs charge a mark …’ exposure to adverse selection. Accordingly, the sensitivity of quotes to trades is stronger than that predicted by theory and …

work for broader issues in both macroeconomics and the theory of the firm. …