We study a continuous-time version of the intermediation model of Grossman and Miller. To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs, who can in turn gradually transfer these positions to an exogenous open market with finite liquidity. This endogenously leads to transient price impact in the dealer market. Smooth, diffusive, and discrete trades all incur finite but nontrivial liquidity costs, and can arise naturally from the liquidity takers' optimization.

中文翻译：

---

竞争性经销商市场的流动性

我们研究了 Grossman 和 Miller 中介模型的连续时间版本。也就是说，我们解决了竞争性均衡价格，在该价格下，流动性接受者的需求被具有二次库存成本的交易商吸收，交易商可以依次将这些头寸逐渐转移到具有有限流动性的外生公开市场。这会内生地导致经销商市场的短暂价格影响。平滑、分散和离散的交易都会产生有限但非平凡的流动性成本，并且可以从流动性接受者的优化中自然产生。