Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price
that does not respond to price pressure. Primary examples include \workup" in Treasury
markets, \matching sessions" in corporate bond and CDS markets, and block-trading
\dark pools" in equity markets. By freezing the execution price and giving up on market-
clearing, size-discovery mechanisms overcome concerns by large investors...

This paper studies the impact of increasing trading frequency in financial markets on
allocative efficiency. We build and solve a dynamic model of sequential double auctions
in which traders trade strategically with demand schedules. Trading needs are generated
by time-varying private information about the asset value and private values for owning
the asset, as well as quadratic inventory costs. We characterize...