Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread
通过考虑投资者的订单放置策略，证明交易成本会导致买卖价差成为资产市场的均衡属性，并分析价差大小与市场稀薄程度的关系，对交易系统设计有启示。
By considering investor order placement strategy, this paper demonstrates that transaction costs cause bid-ask spreads to be an equilibrium property of asset markets. With transaction costs, the probability of a limit order executing does not go to unity as the order is placed infinitesimally close to a counterpart market quote; thus, with certainty of execution at the counterpart market quote, a "gravitational pull" is generated that keeps counterpart quotes from being placed infinitesimally close to each other. An equilibrium spread is defined and its size linked to market thinness; implications are noted for the design of a trading system.