Quotes, Order Flow, and Price Discovery
研究1975年国会指令整合纽交所上市股票交易的影响，发现纽交所报价通常决定最优报价，非纽交所市场在报价劣势时仍吸引订单流，表明存在订单流付费等机制。
ABSTRACT The goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE‐listed stocks. The conclusions are: most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes. Non‐NYSE markets attract a significant portion of their volume when they are posting inferior bids or offers, indicating they obtain order flow for other reasons, such as “payment for order flow.” Yet, when a non‐NYSE market does post a better bid or offer, it does attract additional order flow.