Competing for Order Flow in OTC Markets
构建了一个由交易商中介的双边资产市场模型，交易商通过报价（价格、数量、执行速度）竞争吸引订单流，投资者选择最优报价。模型解释了场外市场特有的交易模式，对理解市场微观结构和交易商行为有参考价值。
We develop a model of a two‐sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute trades—which can include prices, quantities, and execution speed—and investors direct their orders toward dealers who offer the most attractive terms. We characterize the equilibrium in a general setting, and we illustrate theoretically and numerically how the model can account for several important trading patterns in over‐the‐counter markets, which do not emerge from existing models.