Plumbing of Securities Markets: The Impact of Post-trade Fees on Trading and Welfare
研究证券市场中交易后费用结构（统一收费与基于边际成本的差异化收费）如何影响市场质量和福利，发现社会规划者可通过要求边际成本收费并允许交易者选择披露对手方信息来最大化福利。
We analyze how market design choices about counterparty information and costs related to the “plumbing” (i.e., clearing, settlement, and custody) of securities markets affect market quality and welfare. Our model compares two post-trade fee structures for allocating these costs. One charges a uniform fee for all trades and the other, marginal cost–based structure a reduced fee for internalized trades (which, both traders being from the same broker, is less costly to process). Both market design and fee structure affect quote aggressiveness and trading volume and its composition. With marginal cost–based fees and counterparty information being available, traders decide which counterparties to target through quote aggressiveness, trading off execution probability against fee. A social planner can maximize welfare by requiring marginal cost–based fees and providing traders the choice to disclose counterparty information. This paper was accepted by Gustavo Manso, finance.