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Bachelier Finance Society One World Seminar
Speaker: Darrell Duffie (Stanford University)

Title: Fragmenting Financial Markets

Abstract: This talk on financial market design addresses the costs (and
sometimes the benefits) of fragmenting trade across multiple venues. Size discovery trading crosses buy and sell orders, with no bid-ask spread and no price impact, by exploiting the price determined on a separate exchange market.

Although popular in practice, size discovery reduces the depth of exchange markets and, as modeled, worsens overall allocative efficiency. On the other hand, fragmenting trade in the same asset across multiple exchanges can improve allocative efficiency.

This talk draws from research with Samuel Antill and Daniel Chen.

Apr 22, 2021 07:00 PM in Zurich

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