Market microstructure A survey 部分内容如下： ELSEVIER Journal of Financial Markets 3 (2000) 205-258
Journal of
FINANCIAL
MARKETS
www.elsevier.nl/locate/econbase
IVIarket microstructure: A survey
Ananth Madhavan*
Marshall School of Busine.ss, University of Southern California, Los Angeles, CA 90089-1427, USA
Abstract
Market microstructure studies the process by which investors' latent demands are
ultimately translated into prices and volumes. This paper reviews the theoretical, empiri-
cal and experimental literature on market microstructure relating to: (1) price form.ation,
including the dynamic process by which prices come to impound information, (2) market
structure and design, including the relation between price formation and trading proto-
cols, (3) Transparency, the ability of market participants to observe information about
the trading process, and (4) Applications to other areas ojjinance including asset pricing,
international finance, and corporate finance. 0 2000 Elsevier Science B.V. All rights
reserved.
JEL classlflication: Gl0; G34
Kevwords: Market microstructure, Liquidity; Security prices; Transparency; Market
design
1. Introduction
The last two decades have seen a tremendous growth in the academic
literature now known as market microstructure, the area of finance that is
/'1 thank Avanidhar Subrahmanyam (editor), Rich Lyons and participants at the Market Micro-
structure Ph.D. seminar at Erasmus University for their comments. I have also benefited greatly
from past discussions with Ian Domowitz, Margaret Forster, Larry Harris, Don Keim, and Seymour
Smidt that are reflected in this paper. Of course, any errors are entirely my own.⑧ Ananth
Madhavan, 2000.
*Corresponding author. Tel.: + 1-213-740-6519; fax: + 1-213-740-6650.
E-mail address: amadhava@bus.usc.edu (A. Madhavan).
1386-4181/OOj$- see front matter(@ 2000 Elsevier Science B.V. All rights reserved.
PII: S1386-4181(00)00007-0 |