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Perceived shortcomings in the dominant asset market format, CDA, have
provoked reform proposals including Flow, which features gradual trading.
We report a laboratory experiment comparing formats in a simple
single-asset private values environment. We find that Flow reduces price
volatility, enhances liquidity, and encourages traders to send fewer and
larger orders, indicating more effective shredding. In our simple environment,
both formats deliver comparable trading volume, allocative
efficiency and price efficiency.
