Clustering and Competition in Asset Markets
研究了纳斯达克等股票市场中报价在偶数八分之一处聚类的现象，提出竞争性理论解释，认为不确定性、交易规模、波动性等因素影响聚类程度，并探讨市场结构对聚类、价差和投资者交易成本的影响。
Economists, financial commentators, regulatory agencies, and the legal community have recently criticized the Nasdaq Stock Market, Inc., because there is greater clustering of stock quotations on even-eighths on Nasdaq than on the New York Stock Exchange or the American Stock Exchange, a phenomenon which critics attribute to collusion or some other defect in Nasdaq market structure. However as this article demonstrates, clustering occurs in varying degrees in many other incontestably competitive financial markets, including the NYSE, the AMEX, the London Stock Exchange, the London gold market, and the international foreign exchange market. This article provides a competitive theory of clustering that emphasizes the effect of uncertainty, the size of transactions, volatility, and the informational and transactional roles of quotations on the degree of clustering In addition, the article examines how market structure can affect the degree of clustering and considers the relation between clustering, spreads, and investors' transactions costs. Coauthors are Merton H. Miller, Kenneth R. Cone, Daniel R. Fischel, and David J. Ross. Copyright 1997 by the University of Chicago.