Why Do Larger Orders Receive Discounts on the London Stock Exchange?
认为做市商市场中的竞争是跨期的，交易者通过威胁更换做市商来约束定价，因此做市商对常客给予更大价格改善，常客则选择提交大额订单，导致价格改善与交易规模负相关。基于1991年伦敦证券交易所数据验证了该模型。
We argue that competition between dealers in a classic dealer market is intertemporal: A trader identifies a particular dealer and negotiates a final price with only the intertemporal threat to switch dealers imposing pricing discipline on the dealer. In this kind of market structure, we show that dealers will offer greater price improvement to more regular customers, and, in turn, these customers optimally choose to submit larger orders. Hence, price improvement and trade size should be negatively correlated in a dealer market. We confirm our model's predictions using unique data from the London Stock Exchange during 1991. Copyright 2005, Oxford University Press.