Gilette, A.

trader specialist information market price profit asset buyer equilibrium seller order exchange limit orders asset prices value trading limit assumption strategy model bid-ask spread probability spread proof gillette formation asset market claim lemma globex information partition securities markets specialist extracts system number bid-ask integrand joumal randomize trade market participants order statistic security noise mechanism arizona stock exchange extract surplus analysis partition trading profits literature information costs instance seller side trading mechanisms information content result information rents equilibrium strategies heterogeneity noise traders existence transaction agent option fraction nonnegative density instant content implication expectation walrasian proposition buyer side problem asset price buyers bid bidding