AQR Insight Award

Size Discovery

2016 FIRST PRIZE

Darrell Duffie, Ph.D., Graduate School of Business, Stanford University, and Haoxiang Zhu, Ph.D., MIT Sloan School of Management

Investors use size discovery trading mechanisms such as “workups,” “dark pools,” and “matching sessions” to understand how best to quickly trade large blocks of an asset without impacting its price. The authors argue that size discovery, when combined with price discovery, is an effective tool in mitigating inefficiencies caused by buyers and sellers seeking to avoid price impact when trading.

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