A Model of Simultaneous Multilateral Search

Abstract：    

This paper studies simultaneous multilateral search (SMS) in over-the-counter markets: When searching, a customer simultaneously contacts several dealers and trades with the one offering the best quote. Higher search intensity (how often one can search) improves welfare, but higher search capacity (how many dealers one can contact) or higher transparency about dealer inventories might be harmful. When the market is in distress, customers might inefficiently favor bilateral bargaining (BB) over SMS. Such preference for BB speaks to the sluggish adoption of SMS trading, like request-for-quote protocols, in over-the-counter markets. Furthermore, a market-wide shift to SMS may not be socially optimal.

Speaker Bio：     

沈吉，英国伦敦政治经济学院金融学博士，现在北京大学光华管理学院金融学系任助理教授；研究方向：有摩擦金融市场的资产定价理论，公司金融，金融市场，宏观经济理论。近年来在《经济研究》、《金融研究》、《世界经济》和Review of Financial Studies, Management Science等中外期刊发表论文多篇。