Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement
提出一种新方法，通过将证券交易价格分解为随机游走和平稳成分，测量实际交易价格与隐含有效价格之间的偏差，以定价误差的离散度作为市场质量的衡量标准。
I discuss a new method for measuring the deviations between actual transaction prices and implicit efficient prices. The approach decomposes security transaction prices into random-walk and stationary components. The random-walk component may be identified with the efficient price. The stationary component, the difference between the efficient price and the actual transaction price, is termed the pricing error. Its dispersion is a natural measure of market quality. I describe practical strategies for estimating these quantities. For a sample of NYSE stocks, the average pricing error standard deviation estimate is roughly 0.33 percent of the stock price. If the pricing error is normally distributed and if it is always a positive cost incurred by the transaction initiators, the corresponding average transaction cost for these traders is 0.26 percent of the stock price. The dispersion of the pricing error is also found to be elevated at the beginning and end of the trading session.