市场冲击下交易的委托-代理模型--与交易商市场交互的交叉网络--
A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-
摘要：
本文利用委托代理模型分析了当交易商面临交叉网络或暗池的竞争时，交易商市场的结构。代理人被私下告知他们的类型（例如他们的投资组合），这是交易商在与交易对手接洽时必须考虑的因素。代理商可以选择在交叉网络中进行交易，而不是与经销商进行交易。我们发现，存在这样的网络的结果，在更多的类型由经销商提供服务，并在一定条件下，由于减少逆向选择的影响，图书的价差缩小。我们允许经销商市场上的定价，以确定交叉网络的结构，并表明，相同的条件，导致减少的蔓延意味着存在一个平衡的书/交叉网络对。
英文摘要：
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios), which is something that the dealer must take into account when engaging his counterparties. Instead of trading with the dealer, the agents may chose to trade in a crossing network. We show that the presence of such a network results in more types being serviced by the dealer and that, under certain conditions and due to reduced adverse selection effects, the book's spread shrinks. We allow for the pricing on the dealer market to determine the structure of the crossing network and show that the same conditions that lead to a reduction of the spread imply the existence of an equilibrium book/crossing network pair.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
