Experimentation in Financial Markets
利用意大利交易商间债券市场的独特数据，实证估计了策略性实验的过程，揭示了交易商如何通过与其他交易商交易来利用或评估订单信息，并识别出“隐藏”和“实验”两种主要策略。
In this paper, we use a unique data set on the Italian interdealer bond market to empirically estimate the process of strategic experimentation. The results show how the information generated in the process of interdealer trading affects the incentive to experiment. Upon receipt of an order, dealers deliberately engage in trade with other dealers either to exploit the information contained in the order they receive or, if they are uncertain about its quality, to assess it by actively experimenting with other dealers. We therefore identify “hiding” and “experimenting” as main types of dealer strategies.