EconPapers    
Economics at your fingertips  
 

Size Discovery

Darrell Duffie and Haoxiang Zhu

No 21696, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Size-discovery trade mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to price pressure. Primary examples include “workup” in Treasury markets, “matching sessions” in corporate bond and CDS markets, and block-trading “dark pools” in equity markets. By freezing the execution price and giving up on market-clearing, size-discovery mechanisms overcome concerns by large investors over their price impacts. Price-discovery mechanisms clear the market, but cause investors to internalize their price impacts, inducing costly delays in the reduction of position imbalances. We show how augmenting a price-discovery mechanism with a size-discovery mechanism improves allocative efficiency.

JEL-codes: D47 D82 G14 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-mst
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published as Darrell Duffie & Haoxiang Zhu, 2017. "Size Discovery," The Review of Financial Studies, vol 30(4), pages 1095-1150.

Downloads: (external link)
http://www.nber.org/papers/w21696.pdf (application/pdf)

Related works:
Journal Article: Size Discovery (2017) Downloads
Working Paper: Size Discovery (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:21696

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w21696

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2022-01-25
Handle: RePEc:nbr:nberwo:21696