Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures
研究发现，1美分的最小报价单位阻止交易者通过选择价格来抵消费用分割，导致交易所通过不同收费结构进行二级价格歧视，破坏均衡并引发频繁费用变动和新交易所进入。
Stock exchange operators compete for order flow by setting “make” fees for limit orders and “take” fees for market orders. When traders can quote continuous prices, exchange operators compete on total fee, because traders can choose prices that perfectly neutralize any fee division. The 1-cent minimum tick size, however, prevents traders from neutralizing fee division. The nonneutrality of division between make and take fees (1) allows an exchange operator to establish exchanges that differ in fee structure to engage in second-degree price discrimination and (2) destroys the Bertrand equilibrium, leads to frequent fee changes, and encourages entries of new exchanges.Received May 29, 2016; editorial decision April 19, 2018 by Editor Robin Greenwood. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.