Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective
从历史视角回顾股票市场结构演变，分析微观结构研究对市场改进的影响，并实证展示市场冲击成本和价格发现噪声如何加剧短期收益波动。
This article presents a brief historical perspective on the evolution of equity market structure and considers implications microstructure analysis has had for improving market structure. Since the 1975 Securities Acts Amendments mandated the development of a National Market System, the robust growth of institutional investing and the impact of striking technological change have been transformative. Yet, market impact costs and price discovery noise continue to accentuate short-period returns variance, and the article presents empirical evidence of how sizable that accentuation is. In dealing with this problem, the authors focus on the rules that govern how orders are integrated together and turned into trades and transaction prices.