Inter‐Dealer Trading in Financial Markets

作者：Siva Viswanathan, James Wang · 发表于：The Journal of Business · 年份：2004 · DOI：10.1086/422631 · 被引用次数：75 · 研究领域：Auction Theory and Applications、Financial Markets and Investment Strategies、Economic theories and models

We compare the following multi-stage inter-dealer trading mechanisms: a one-shot uniform-price auction, a sequence of unit auctions (sequential auctions), and a limit-order book. With uninformative customer orders, sequential auctions are revenue-preferred because winning dealers in earlier stages restrict quantity in subsequent auctions so as to raise the price. Since winning dealers make higher profits, dealers compete aggressively, thus yielding higher customer revenue. With informative customer orders, winning dealers use their private information in subsequent trading, reducing liquidity. Sequential trading breaks down when the customer order flow is too informative, while the limit-order book is robust and yields higher revenues.