Price Quality in Dark Markets

黑市的价格质量

• 批准号: 1426428
• 负责人: Peter Bossaerts
• 金额: $ 30.77万
• 依托单位: University of Utah
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2014
• 资助国家: 美国
• 起止时间: 2014-08-01 至 2017-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1426428&HistoricalAwards=false
• 关键词: Price; Quality; Dark; Markets

Starting with Chamberlin in the 40s, experiments with markets have made economists pessimistic about the merits of decentralized markets, in sharp contrast with centralized markets. The centralized continuous double auction has emerged as the mechanism most advocated by economists to generate the beneficial outcomes associated with competitive equilibrium. Buttressed by recent advances in theoretical modeling of decentralized markets, our experiments have started to paint a different picture, with decentralized markets generating outcomes that are not much different from those of centralized markets. Here, we propose to investigate the very dimension in which decentralized markets have been proposed to improve upon centralized markets, namely, in providing sustained incentives to pay for (inside) information (within the right economic setting, of course) the theory does not claim that decentralized markets will always be better). This contrasts with centralized markets, which theory and experiments have argued lead to the Grossman-Stiglitz paradox (if information is costly, prices cannot be informative). The negativity with which economists generally depict the workings of decentralized markets has affected policy making, certainly since the Great Financial Crisis, to the extent that such markets are now generally shunned, or even, as in the recent European directive MiFID 2, disallowed. Our experiments are meant to bring hard evidence to the table. They should illustrate the possibility of evidence-based policy making in finance.Decentralized financial markets have been deemed detrimental to efficient and fair pricing because of their lack of transparency (whence the synonym "dark markets"). Recent legislation in both the U.S. and in the E.U. is gradually forcing all trading onto centralized markets, or multilateral trading platforms, where everyone can see, in a timely fashion, pretty much everything that is going on (order submission, executed trades, etc.). However, controlled experiments with financial markets have confirmed a theoretical prediction from the 70s, which is that centralized markets fail to provide incentives to collect information (when this is costly) and hence, centralized markets can at best generate only noisy prices. In contrast, more recent theoretical modeling argues that in certain settings, decentralized markets would actually generate the right incentives, and as a result, prices would be more accurate than in centralized markets. If this is true, the gradual elimination of "dark markets" might not have been a good policy. We propose to study price discovery with costly information acquisition in decentralized markets through controlled experimentation. Our experiments would advise whether recent financial markets regulation may have to be re-examined. While inspired by theoretical reasoning, our recommendation will be evidence-based, and as such, would break with the tradition in rule making in finance, which has been almost entirely model-based.

从40年代的张伯林开始，对市场的实验让经济学家对分散市场的好处持悲观态度，这与集中式市场形成了鲜明对比。集中的连续双向拍卖已成为经济学家最提倡的一种机制，以产生与竞争均衡相关的有益结果。在去中心化市场理论建模的最新进展的支持下，我们的实验开始描绘出一幅不同的图景，去中心化市场产生的结果与集中化市场的结果没有太大区别。在这里，我们建议调查分散市场被提议改善集中市场的维度，即在提供持续的激励以购买(内幕)信息(当然，在正确的经济环境下)理论并不是说分散市场总是更好)。这与集中式市场不同，理论和实验都认为，集中式市场导致了格罗斯曼-斯蒂格利茨悖论(如果信息成本高昂，价格就不可能是信息性的)。经济学家通常对去中心化市场的运行方式持消极态度，这影响了政策的制定，当然是在大金融危机之后，以至于这种市场现在通常被回避，甚至像最近的欧洲指令MiFID 2那样被禁止。我们的实验旨在将确凿的证据带到谈判桌上。分散的金融市场被认为不利于有效和公平的定价，因为它们缺乏透明度(由此产生了“黑暗市场”的同义词)。美国和欧盟最近的立法正在逐步迫使所有交易进入集中市场或多边交易平台，在这个平台上，每个人都可以及时看到几乎所有正在进行的事情(提交订单、执行交易等)。然而，对金融市场的受控实验证实了70年代的一个理论预测，即集中式市场无法提供收集信息的激励(当这样做成本高昂的时候)，因此，集中式市场充其量只能产生嘈杂的价格。相比之下，最近的理论模型认为，在某些情况下，分散的市场实际上会产生正确的激励，因此，价格将比集中市场更准确。如果这是真的，逐步消除“黑暗市场”可能不是一个好政策。我们建议通过控制实验来研究分散市场中具有昂贵信息获取的价格发现。我们的实验将表明，最近的金融市场监管是否可能需要重新审查。虽然受到理论推理的启发，但我们的建议将是以证据为基础的，因此将打破金融领域制定规则的传统，后者几乎完全基于模型。