We develop a dynamic equilibrium model for liquidity in competitive dealer markets. To wit, we solve for the equilibrium prices at which liquidity takers' demands are absorbed by competitive, inventory averse dealers, who who can in turn gradually transfer these positions to end users. (joint work in progress with Peter Bank and Ibrahim Ekren)

Bio:

Johannes Muhle-Karbe joined Carnegie Mellon’s Department of Mathematical Sciences as an Associate Professor in September 2017 from Michigan. His research focuses on market frictions such as transaction costs, model uncertainty, and asymmetric information, and their impact on portfolio choice and asset prices.