Equilibrium Exchanges
研究无摩擦交易所中均衡的形成，发现交易者会使用不同紧急程度的指数限价订单，而市场订单和传统限价订单不会被使用；紧急程度越高，价格变动越大，执行成本越高。
AbstractA frictionless market for exchanges will feature an equilibrium in which traders use indexed limit orders at different levels of urgency but do not use market orders or conventional limit orders. Buy limit orders will match sell limit orders at the current price. Limit order entry will move price by an amount that increases indefinitely as urgency increases, so faster execution means higher effective cost. Dealers will lose money, so exchanges will have no specialists market makers. Traders can signal that they have no special information by using less-urgent indexed limit orders; they cannot do better by using specialized exchanges, sunshine trading, or basket trading.