| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21696 |
| 来源ID | Working Paper 21696 |
| Size Discovery | |
| Darrell Duffie; Haoxiang Zhu | |
| 发表日期 | 2015-11-09 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Size-discovery trade mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to price pressure. Primary examples include “workup” in Treasury markets, “matching sessions” in corporate bond and CDS markets, and block-trading “dark pools” in equity markets. By freezing the execution price and giving up on market-clearing, size-discovery mechanisms overcome concerns by large investors over their price impacts. Price-discovery mechanisms clear the market, but cause investors to internalize their price impacts, inducing costly delays in the reduction of position imbalances. We show how augmenting a price-discovery mechanism with a size-discovery mechanism improves allocative efficiency. |
| 主题 | Microeconomics ; Market Structure and Distribution ; Economics of Information ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w21696 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579371 |
| 推荐引用方式 GB/T 7714 | Darrell Duffie,Haoxiang Zhu. Size Discovery. 2015. |
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