Quotes, Order Flow, and Price Discovery
研究1975年国会授权整合纽交所上市股票交易的影响，发现纽交所报价通常主导市场，而非纽交所市场在报价劣势时仍能吸引订单流，原因包括“订单流付费”。
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.