Clients' Connections: Measuring the Role of Private Information in Decentralized Markets
提出一种衡量分散市场中私人信息的新指标：连接，利用客户在特定时期内交易的经销商数量变化，发现连接越多客户表现越好，且市场整体连接变化有助于解释收益率动态。
ABSTRACT We propose a new measure of private information in decentralized markets—connections—which exploits the time variation in the number of dealers with whom a client trades in a time period. Using trade‐level data for the U.K. government bond market, we show that clients perform better when having more connections as their trades predict future price movements. Time variation in market‐wide connections also helps explain yield dynamics. Given our novel measure, we present two applications suggesting that (i) dealers pass on information, acquired from their informed clients, to their affiliates, and (ii) informed clients better predict the orderflow intermediated by their dealers.