Augmenting Markets with Mechanisms

116 Pages Posted: 28 Dec 2017 Last revised: 24 Dec 2021

See all articles by Samuel Antill

Samuel Antill

Harvard Business School

Darrell Duffie

Stanford University - Graduate School of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: December 2017


We explain how the common practice of size-discovery trade detracts from overall financial market efficiency. At each of a series of size-discovery sessions, traders report their desired trades, generating allocations of the asset and cash that rely on the most recent exchange price. Traders can thus mitigate exchange price impacts by waiting for size-discovery sessions. This waiting causes socially costly delays in the rebalancing of asset positions across traders. As the frequency of size-discovery sessions is increased, exchange market depth is further lowered by the traders' reduced incentive to bid aggressively on the exchange, further delaying the rebalancing of positions, and more than offsetting the gains from trade that occur at each of the size-discovery sessions.

Suggested Citation

Antill, Samuel and Duffie, James Darrell, Augmenting Markets with Mechanisms (December 2017). NBER Working Paper No. w24146, Available at SSRN:

Samuel Antill (Contact Author)

Harvard Business School ( email )

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James Darrell Duffie

Stanford University - Graduate School of Business ( email )

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