分散的交换

S. Malamud, M. Rostek
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引用次数: 117

摘要

大多数资产在多个相互关联的交易场所进行交易。本文建立了一个分散市场的均衡模型,该模型可以容纳具有共存交换的一般市场结构。分散的市场可以更有效地将风险分配给具有不同风险偏好的交易者,从而实现集中市场无法复制的交易收益。市场分散化总是会增加价格影响。然而,资产在多个交易所交易的市场,无论它们是分离的还是中介的,都能比拥有相同交易者和资产的集中市场提供更高的福利。在分散的市场中,不同资产之间的需求可替代性是内生的,交易者之间是异质的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Decentralized Exchange
Most assets are traded in multiple interconnected trading venues. This paper develops an equilibrium model of decentralized markets that accommodates general market structures with coexisting exchanges. Decentralized markets can allocate risk among traders with different risk preferences more efficiently, thus realizing gains from trade that cannot be reproduced in centralized markets. Market decentralization always increases price impact. Yet, markets in which assets are traded in multiple exchanges, whether they are disjoint or intermediated, can give higher welfare than the centralized market with the same traders and assets. In decentralized markets, demand substitutability across assets is endogenous and heterogeneous among traders.
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