We develop a game-theoretic framework that compares welfare efficiency across three market mechanisms: continuous double auctions with transparent order books (lit exchanges), opaque order books (dark pools), and periodic batch auctions. Each mechanism is modeled as a queuing system where heterogeneous traders face trade-offs between the execution price, waiting costs, and transaction costs. Our main result establishes that under moderate arrival rates and bounded adverse selection, dark pools dominate both alternatives in aggregate ex-ante welfare. Observable order books create costly strategic timing games in which traders delay or rush submissions to optimize their position in the queue, generating wasteful social waiting costs. Opaque order books eliminate these timing games through information design. We formally characterize the equilibrium strategies in each mechanism and prove the welfare ranking $W^{DARK} > W^{LIT} > W^{BATCH}$. Extensions incorporate asymmetric information and endogenous venue choice. The results demonstrate how the information structure and the discipline of the service jointly determine efficiency in strategic matching environments.

翻译：我们构建了一个博弈论框架，比较三种市场机制的福利效率：透明订单簿连续双向拍卖（公开交易所）、不透明订单簿（暗池）以及定期批量拍卖。每种机制被建模为一个排队系统，其中异质性交易者在执行价格、等待成本和交易成本之间进行权衡。我们的主要结论表明：在中等到达率和有限逆向选择条件下，暗池在事前总福利方面优于其他两种机制。可观察订单簿会引发代价高昂的策略性时间博弈——交易者为优化排队位置而延迟或提前提交订单，从而产生社会性等待成本。不透明订单簿通过信息设计消除这类时间博弈。我们严格刻画了每种机制下的均衡策略，并证明了福利排序 $W^{DARK} > W^{LIT} > W^{BATCH}$。扩展模型纳入了信息不对称和内生性交易场所选择。研究结果揭示了信息结构与服务规则如何共同决定策略性匹配环境中的效率。