Is the Electronic Open Limit Order Book Inevitable?
在一般条件下推导公开限价订单簿中的均衡价格，分析显示订单簿对小额交易存在正买卖价差，限价单从小额交易中获利，电子交易所能在极端情况下提供最大流动性，且限价订单簿不会吸引第三方做市商竞争。
ABSTRACT Under fairly general conditions, the article derives the equilibrium price schedule determined by the bids and offers in an open limit order book. The analysis shows: (1) the order book has a small‐trade positive bid‐ask spread, and limit orders profit from small trades; (2) the electronic exchange provides as much liquidity as possible in extreme situations; (3) the limit order book does not invite competition from third market dealers, while other trading institutions do; (4) If an entering exchange earns nonnegative trading profits, the consolidated price schedule matches the limit order book price schedule.