AI时代市场微观结构的演变
Evolution of Market Microstructure in the Age of AI
- AbleBlox
机构由 AI 辅助整理，请以论文原文为准。
中文总结 AI 辅助
本文综述AI时代市场微观结构的演变，探讨市场能否在保护隐私下高效公平配置稀缺资源，并指出配置是代理商务协议栈缺失的一层。
中文摘要 AI 辅助
市场微观结构研究交易规则如何将订单转化为价格和配置。这些规则已被反复重建：从场内交易员、电子限价订单簿和高频交易，到批量拍卖和暗池，再到由自动做市商和区块构建者运营的区块链，以及现在发现、支付和竞争资源的AI代理。本综述通过一个问题追溯这一演变：市场能否在参与者不完全透露其所知和所求的情况下，高效且公平地配置稀缺商品？每一次技术转变都将市场设计的约束条件从交易者理性转移到速度，再到对交易排序的控制，再到参与者可报告内容的维度。不可能性结果持续存在；只是其代价在移动。我们回顾了关于高频交易、交易场所、自动做市商、可提取价值和算法共谋的证据，并指出配置是代理商务协议栈中缺失的一层。
英文摘要
Market microstructure studies how trading rules turn orders into prices and allocations. Those rules have been rebuilt repeatedly: for floor traders, electronic limit order books and high-frequency trading, batch auctions and dark pools, blockchains run by automated market makers and block builders, and now AI agents that discover, pay for, and compete over resources. This survey traces that evolution through one question: can a market allocate scarce goods efficiently and fairly without participants revealing everything they know and want? Each technological shift moved the binding constraint of market design from trader rationality to speed, to control over transaction ordering, to the dimensionality of what participants can report. Impossibility results persist; only their cost moves. We review evidence on high-frequency trading, trading venues, automated market makers, extractable value and algorithmic collusion, and identify allocation as the missing layer of the agent-commerce protocol stack.
