全球智库信息集成服务系统(G2TT): Augmenting Markets with Mechanisms

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w24146
来源ID	Working Paper 24146
	Augmenting Markets with Mechanisms
	Samuel Antill; Darrell Duffie
发表日期	2017-12-25
出版年	2017
语种	英语
摘要	We explain how the common practice of size-discovery trade detracts from overall financial market efficiency. At each of a series of size-discovery sessions, traders report their desired trades, generating allocations of the asset and cash that rely on the most recent exchange price. Traders can thus mitigate exchange price impacts by waiting for size-discovery sessions. This waiting causes socially costly delays in the rebalancing of asset positions across traders. As the frequency of size-discovery sessions is increased, exchange market depth is further lowered by the traders' reduced incentive to bid aggressively on the exchange, further delaying the rebalancing of positions, and more than offsetting the gains from trade that occur at each of the size-discovery sessions.
主题	Microeconomics ; Market Structure and Distribution ; Economics of Information ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w24146
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/581820
推荐引用方式 GB/T 7714	Samuel Antill,Darrell Duffie. Augmenting Markets with Mechanisms. 2017.