The models presented in the previous chapters describe the price formation process in markets with different structures. As we saw in Figure 1.2, among the markets with trade pricing rules, those governed by an order-driven execution system can be organized either as a continuous or as a call auction, while markets with a quote-driven system can be either a bilateral dealer market or a continuous auction that works as a limit order book. Within this outline, the Glosten and Milgrom (1985) model describes a bilateral quote-driven market in which dealers' competition guarantees semi-strong efficiency; Kyle's (1985) model proxies an order-driven call auction market where a specialist, or a number of market-makers, sets the market-clearing price after observing his, or their, customers' aggregated order flow. Finally, the Grossman and Stiglitz (1980) model proxies an order-driven market where all participants can submit their demand schedules simultaneously. Since each demand function is a fairly accurate representation of a large number of small limit orders (Brown and Zhang, 1997), this market can be interpreted as a limit order book. As the next section shows, this interpretation has the advantage of considering all market participants as potential liquidity suppliers, i.e. of embodying the order-driven feature of a limit order book (LOB); it fails, however, to incorporate either the discriminatory pricing rule that characterizes an LOB or the agents' strategic choices between limit orders and market orders.