A Comparison of Centralized and Fragmented Markets with Costly Search
在Biais模型中引入流动性交易者的搜寻成本，发现集中市场的预期买卖价差更小，流动性交易者偏好集中市场，而做市商偏好碎片化市场，与以往研究结论相反。
ABSTRACT How does quotation transparency affect financial market performance? Biais's irrelevance proposition in 1993 shows that centralized markets yield the same expected bid–ask spreads as fragmented markets, other things equal. However, de Frutos and Manzano demonstrated in 2002 that expected spreads in fragmented markets are smaller and market participants prefer to trade in fragmented markets. This paper introduces liquidity traders' costs of searching for a better quote into the Biais model and derives opposite conclusions to these previous studies: expected spreads in centralized markets are smaller and liquidity traders prefer centralized markets, while market makers prefer fragmented markets.