Automation versus Intermediation: Evidence from Treasuries Going Off the Run
研究美国国债从新券变为旧券后交易量暴跌90%以上，检验人类中介的知识能否在自动化系统中被复制，发现电子中介市场份额从81%降至12%。
ABSTRACT This paper examines the choice of trading venue by dealers in U.S. Treasury securities to determine when services provided by human intermediaries are difficult to replicate in fully automated trading systems. When Treasury securities go “off the run” their trading volume drops by more than 90%. This decline in trading volume allows us to test whether intermediaries' knowledge of the market and its participants can uncover hidden liquidity and facilitate better matching of customer orders in less active markets. Consistent with this hypothesis, the market share of electronic intermediaries falls from 81% to 12% when securities go off the run.