In practice, many assets are traded in both transparent centralized markets and opaque decentralized markets. To explain traders' market choices, we develop a model of dynamic learning and market selection between the centralized and decentralized markets. With heterogeneous trader value correlations, we find that when asset payoff sensitivity or volatility is sufficiently low, traders prefer the decentralized market; when asset sensitivity or volatility is intermediate, switching between centralized and decentralized markets is the optimal market choice; when asset values are sensitive to volatile fundamentals, assets are traded only in the centralized market. The model's predictions are supported by empirical evidence from the Chinese corporate bond market. Our research uncovers new welfare implications for various market designs with dynamic market choices.