Over-the-counter (OTC) markets dominate trading in many asset classes. Will electronic trading displace traditional OTC “voice” trading? Can electronic and voice systems coexist? What types of securities and trades are best suited for electronic trading? We study these issues by focusing on...

We study the optimal (i.e. revenue maximizing) auction of multiple products. We make three major points. First, we extend the relationship between price discrimination and optimal auctions from the single-product case to the multiple-product case. A monopolist setting prices for multiple...

All option trades must occur on exchanges, which typically offer auctions that improve prices over existing quotes. Wholesalers, that purchase orders from brokers, initiating auctions must be willing to trade at the existing best quote or better. For S&P500 stocks, auctions are 23% of options...