Price discovery in two‐tier markets
本文研究外汇市场这一双层市场中的价格发现过程，利用包含交易对手身份的数据，发现大银行在限价单和市价单中均利用信息优势获利，其私有信息主要来自对冲基金等资产管理者和自身分析。
Abstract This paper examines the price discovery process in a two‐tier market, specifically the foreign‐exchange market. The goal is to identify the sources of private information and to gain insights into the process through which that information influences the market price. Using a transactions database that includes trading‐party identities, we show that sustained post‐trade returns rise with bank size, implying that larger banks have an information advantage. The larger banks exploit this information advantage in placing limit orders as well as market orders. We also show that the bank's private information does not come from their corporate or government customers or from some asset managers. Instead, the bank's private information appears to come from other asset managers, including hedge funds, and from the bank's own analysis.