In reality, we find assets traded in the transparent centralized market and opaque decentralized market. To explain the traders' choices of venues, we develop a model of dynamic learning and dynamic market choice between the centralized market and decentralized markets. With heterogeneous trader value correlation, we find that when asset sensitivity or volatility is sufficiently low, traders prefer the decentralized market; when asset sensitivity or volatility is intermediate, switching between centralized and decentralized markets can be the optimal market choice; when asset values are sensitive to volatile fundamentals, assets are traded only in the centralized market. We provide empirical evidence in support of the model predictions. We discussed the welfare implications of various market designs under endogenous market choices. We find that introducing post-trade transparency in the decentralized market improves welfare. Surprisingly, introducing pre-trade transparency in the decentralized market may decrease welfare as it increases traders' incentives to choose a decentralized market earlier and hurts future traders in the centralized market.