全球智库信息集成服务系统(G2TT): Market Fragmentation

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w26828
来源ID	Working Paper 26828
	Market Fragmentation
	Daniel Chen; Darrell Duffie
发表日期	2020-03-09
出版年	2020
语种	英语
摘要	We model a simple market setting in which fragmentation of trade of the same asset across multiple exchanges improves allocative efficiency. Fragmentation reduces the inhibiting effect of price-impact avoidance on order submission. Although fragmentation reduces market depth on each exchange, it also isolates cross-exchange price impacts, leading to more aggressive overall order submission and better rebalancing of unwanted positions across traders. Fragmentation also has implications for the extent to which prices reveal traders’ private information. While a given exchange price is less informative in more fragmented markets, all exchange prices taken together are more informative.
主题	Microeconomics ; Market Structure and Distribution ; Economics of Information ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w26828
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/584501
推荐引用方式 GB/T 7714	Daniel Chen,Darrell Duffie. Market Fragmentation. 2020.