Size-discovery protocols are not on the efficient frontier

Practice improves allocations but more can be done, says Darrell Duffie

Darrell Duffie is the Dean Witter distinguished professor of finance at Stanford University’s Graduate School of Business, and professor by courtesy in the university’s economics department. He has recently been an adviser on financial markets to a range of bodies, including the Financial Stability Board and several Federal Reserve banks.

Most basic economics courses teach that a market only works efficiently when the price is adjusted to match supply and demand. Modern trade platform operators

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