Trading Mechanisms in Securities Markets
分析两种交易机制下的价格形成：连续报价驱动系统（做市商先报价后下单）和订单驱动系统（交易者先下单后定价），后者又分连续竞价和定期竞价。研究发现定期竞价价格效率更高，但牺牲了连续性并增加信息成本。
ABSTRACT This paper analyzes price formation under two trading mechanisms: a continuous quote‐driven system where dealers post prices before order submission and an order‐driven system where traders submit orders before prices are determined. The order‐driven system operates either as a continuous auction , with immediate order execution, or as a periodic auction , where orders are stored for simultaneous execution. With free entry into market making, the continuous systems are equivalent. While a periodic auction offers greater price efficiency and can function where continuous mechanisms fail, traders must sacrifice continuity and bear higher information costs.