Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets
比较了集中市场（如场内交易）与分散市场（如电话交易）中风险厌恶交易者的报价策略，发现两种市场的预期价差相等，但集中市场的价差波动性更高。
ABSTRACT This paper compares centralized and fragmented markets, such as floor and telephone markets. Risk‐averse agents compete for one market order. In centralized markets, these agents are market makers or limit order traders. They are assumed to observe the quotes of their competitors. In fragmented markets they are dealers. They can only assess the positions of their competitors. We analyze differences in bidding strategies reflecting differences in market structures. The equilibrium number of dealers is shown to be increasing in the frequency of trades and the volatility of the value of the asset. The expected spread is shown to be equal in both markets, ceteris paribus. But the spread is more volatile in centralized than in fragmented markets.