Estimating the Gains from Trade in Limit‐Order Markets
提出一种估计限价订单市场交易收益的方法，利用订单提交、执行和撤销数据，估算交易者估值分布和到达率，发现当前市场收益达最大收益的90%，是垄断流动性供应商的150%。
ABSTRACT We present a method to estimate the gains from trade in limit‐order markets and provide empirical evidence that the limit‐order market is a good market design. Using observations on order submissions and execution and cancellation histories, we estimate both the distribution of traders' unobserved valuations for the stock and latent trader arrival rates. We use the resulting estimates to compute the current gains from trade, the gains from trade in a perfectly liquid market, and the gains from trade with a monopoly liquidity supplier. The current gains are 90% of the maximum gains and 150% of the monopolist gains.