标题： 经纪人与知情交易者之间的流动性竞争 显示英文标题

标题： Liquidity Competition Between Brokers and an Informed Trader

摘要： 我们研究了一个多代理环境，在这个环境中，经纪人与知情交易者进行交易。 通过一个顺序的斯塔克尔伯格型博弈，经纪人管理与知情交易者的交易成本和逆向选择。 特别是，向知情交易者提供流动性使经纪人能够根据流量信息进行投机。 他们同时尝试根据知情订单流来最小化库存风险和交易成本，并与公开市场进行比较，这被称为内部化-外部化策略。 我们以封闭形式求解知情交易者与每个经纪人使用的交易策略，并提出一个方程组，用于分类经纪人的均衡策略。 通过数值求解这些方程，我们可以研究均衡中的结果策略。 最后，我们制定一个经纪人之间的竞争博弈，以确定对知情交易者预先承诺提供的流动性价格，并提供一个结果均衡不是帕累托有效的数值示例。 显示英文摘要

摘要： We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to the informed traders allows the brokers to speculate based on the flow information. They simultaneously attempt to minimize inventory risk and trading costs with the lit market based on the informed order flow, also known as the internalization-externalization strategy. We solve in closed form for the trading strategy that the informed trader uses with each broker and propose a system of equations which classify the equilibrium strategies of the brokers. By solving these equations numerically we may study the resulting strategies in equilibrium. Finally, we formulate a competitive game between brokers in order to determine the liquidity prices subject to precommitment supplied to the informed trader and provide a numerical example in which the resulting equilibrium is not Pareto efficient.