理解暗波动对价格发现的影响
Understanding the Impacts of Dark Pools on Price Discovery
摘要：
本文研究了暗池对价格发现（证券交易所价格对信息聚合的效率）的影响。资产在交易所或暗池中交易，暗池提供更好的价格，但执行率较低。消息灵通的交易者会收到关于资产基本面的嘈杂和异质的信号。我们发现知情交易者使用暗池来降低他们的信息风险，并且存在排序效应：在均衡状态下，具有强信号的交易者在交易所交易，具有中等信号的交易者在暗池交易，而具有弱信号的交易者不交易。因此，暗池对价格发现具有放大效应。也就是说，当信息精确度高（信息风险低）时，大多数知情交易者在交易所交易，因此增加暗池增强了价格发现，而当信息精确度低（信息风险高）时，大多数知情交易者在暗池交易，因此增加暗池削弱了价格发现。本文调和了相互矛盾的经验证据，并提出了新的经验预测。本文还提供了对当前股票市场和新兴市场暗池的监管建议。
英文摘要：
This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices but lower execution rates. Informed traders receive noisy and heterogeneous signals about an asset's fundamental. We find that informed traders use dark pools to mitigate their information risk and there is a sorting effect: in equilibrium, traders with strong signals trade in exchanges, traders with moderate signals trade in dark pools, and traders with weak signals do not trade. As a result, dark pools have an amplification effect on price discovery. That is, when information precision is high (information risk is low), the majority of informed traders trade in the exchange hence adding a dark pool enhances price discovery, whereas when information precision is low (information risk is high), the majority of the informed traders trade in the dark pool hence adding a dark pool impairs price discovery. The paper reconciles the conflicting empirical evidence and produces novel empirical predictions. The paper also provides regulatory suggestions with dark pools on current equity markets and in emerging markets.
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。
