The Trading Decision and Market Clearing Under Transaction Price Uncertainty
建模了投资者在交易价格不确定下的交易决策，分析了批量交易（定期集合竞价）机制下订单聚合如何决定市场出清价格和成交量，并指出与帕累托最优的偏离对市场设计的意义。
This paper models an individual's trading decision, given: (1) his/her demand function to hold shares of an asset, (2) his/her expectation on what the market clearing price will be, and (3) the design of the market which determines how orders will be translated into trades. The particular market design we consider is the batched trading (periodic call) regime. Assuming investors are distributed according to their propensities to hold shares, we model the aggregation of orders to obtain market clearing values of price and volume and to show the way in which, with trading friction, these solutions differ from Pareto efficient values. The importance of this analysis for various issues concerning market design is noted.