The Privacy Subsidy in Glosten-Milgrom: Bid-Ask Spread and Welfare under Flip-Noise Direction Observation

By Yuki Nakamura

Published 2026-05-31

Everscope rating

1815.8

Relevance to quantitative trading

8 / 10

Implementation complexity

2 / 10

Reproducibility

5 / 5

About this paper

Methodology: Analytical Bayesian Game-Theoretic Derivation. Problem types: Market Making, Optimization, Causal Inference.

arXiv:2605.19742 · Paper rankings

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