The Ecology of an Order-Driven Market
The Ecology of an Order-Driven Market
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订单驱动市场的生态
DOI：
10.3905/jpm.24.2.47
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发表时间：
1998
影响因子：
8
通讯作者：
Ashish Tiwari
中科院分区：
文献类型：
--
作者：
P. Handa;R. A. Schwartz;Ashish Tiwari
订单驱动的市场没有做市商，分为限价订单和市价订单交易者，他们平衡供需以实现即时性。经验证据证实，买卖价差是订单驱动市场的自然属性。流动性交易后价格均值回归补偿边际投资者下限价单。复杂的市场生态表明监管机构应该允许市场自然发展。
An order-driven market, which has no market makers, separates into limit-order and market-order traders, who balance supply and demand for immediacy. Empirical evidence confirms that a bid–ask spread is a natural property of an order-driven market. Mean reversion in price following liquidity trades compensates the marginal investor for placing a limit order. Complex market ecology suggests that regulators should permit markets to evolve naturally.