Simultaneous Multilateral Search

Sergei Glebkin, Bart Zhou Yueshen, and Ji Shen

The Review of Financial Studies, 2023

This version: 10 January 2022

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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) 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.

BibTeX

@article{GlebkinYueshenShen2023,
  author = {Glebkin, Sergei and Yueshen, Bart Zhou and Shen, Ji},
  title = {Simultaneous Multilateral Search},
  journal = {The Review of Financial Studies},
  year = {2023},
  volume = {36},
  number = {2},
  pages = {571--614},
  doi = {10.1093/rfs/hhac009},
  url = {https://doi.org/10.1093/rfs/hhac009}
}