Strategic trading in a two-sided foreign exchange auction
研究新兴市场采用的双边外汇拍卖中，离散“摸索”拍卖如何激励参与者策略性隐瞒供需，并用莫斯科银行间外汇交易所数据验证理论预测，对理解外汇市场微观结构有参考价值。
The market microstructure chosen for foreign exchange markets can influence trading volumes and equilibrium exchange rates. With emerging markets and developing countries increasingly utilizing two-sided auctions, we show that the choice of the discrete `tâtonnement' auction creates incentives for strategic behavior among market participants. Theoretical predictions on strategic under-revelation of demand or supply positions are supported empirically using detailed data from a rare example of a tâtonnement market, the Moscow Interbank Currency Exchange. Our results suggest that market microstructures should be introduced alongside more traditional asset-market fundamentals in studies of foreign exchange market activity, especially in developing countries.