I present a fully-rational symmetric-information model of an IPO, as well as a dynamic imperfectly competitive model of the aftermarket trading that follows. The model helps explain why IPO share allocations favor large institutional investors. It also helps to explain IPO underpricing, and...

This paper presents an adaptive learning model for market-making under the reinforcement learn-ing framework. Reinforcement learning is a learning technique in which agents aim to maximize the long-term accumulated rewards. No knowledge of the market environment, such as the order arrival or...