Price Quality in Dark Markets

从20世纪40年代的张伯伦开始，市场实验使经济学家对分散市场的优点感到悲观，这与集中市场形成了鲜明对比。集中式连续双拍卖已成为经济学家最推崇的产生与竞争均衡相关的有益结果的机制。在去中心化市场理论建模的最新进展的支持下，我们的实验已经开始描绘出一幅不同的画面，去中心化市场产生的结果与中心化市场的结果没有太大不同。在这里，我们建议调查去中心化市场被提议改善中心化市场的维度，即提供持续的激励来支付（内部）信息（当然，在正确的经济环境中），该理论并没有声称去中心化市场总是更好)。这与中央集权市场形成了对比，理论和实验认为，中央集权市场导致了格罗斯曼-斯蒂格利茨悖论（如果信息是昂贵的，价格就不能提供信息）。经济学家对去中心化市场运作的负面描述已经影响了政策的制定，尤其是自金融危机以来，这种市场现在普遍被回避，甚至像最近的欧洲指令MiFID 2一样，被禁止。我们的实验是为了提供确凿的证据。它们应该说明在金融领域以证据为基础制定政策的可能性。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（因此是“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，在那里每个人都可以及时看到几乎所有正在进行的事情（订单提交，执行交易等）。然而，金融市场的受控实验已经证实了上世纪70年代的一个理论预测，即集中的市场无法提供收集信息的激励（当这是昂贵的），因此，集中的市场最多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，价格会比集中的市场更准确。如果这是真的，逐步消除“黑市”可能不是一项好政策。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。我们的实验将建议是否需要重新审视最近的金融市场监管。虽然受到理论推理的启发，但我们的建议将以证据为基础，因此，将打破金融规则制定的传统，这几乎完全是基于模型的。

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.