Darrell Duffie (Stanford University), « Size Discovery », Paul Woolley Research Initiative Seminar, IDEI, 7 mars 2016, 12h30–13h45, salle MF 323.


Size discovery is the use of trade mechanisms by which large quantities of an asset can be exchanged at a price that does not respond to price pressure. Primary examples of size discovery include \workup" in Treasury markets and block-trading \dark pools" in equity markets. By freezing the execution price and giving up market-clearing, a size-discovery mechanism overcomes large investors' concerns over price impacts. Price-discovery mech- anisms clear the market, but cause investors to internalize their price impacts, inducing costly delays in the reduction of position imbalances. We show that augmenting a price- discovery mechanism with a size-discovery mechanism improves allocative efficiency.

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Paul Woolley Research Initiative