In this paper, we incorporate a jump component into the model based on a two-dimensional degenerate diffusion process for the remaining lifetime of machines in the recent paper [Lefebvre, M., 2010. Mean first-passage time to zero for wear processes. Stochastic Models 26, 46-53] by the second...

We model the execution of large uninformed sell orders in the presence of strategic competitive market makers. We solve for the unique symmetric equilibrium of the model in closed-form. Our equilibrium findings provide a rationale for the empirically observed patterns of (i) short orders...

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...