Trading Mechanisms in Securities Markets
This paper analyzes price formation under two trading mechanisms: a continuous quote-driven system where dealers post prices before order submission and an order-driven system where traders submit orders before prices are determined. The order-driven system operates either as a continuous auction, w...
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| Veröffentlicht in: | The Journal of finance (New York) 1992-06, Vol.47 (2), p.607-641 |
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| container_end_page | 641 |
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| container_title | The Journal of finance (New York) |
| container_volume | 47 |
| creator | MADHAVAN, ANANTH |
| description | This paper analyzes price formation under two trading mechanisms: a continuous quote-driven system where dealers post prices before order submission and an order-driven system where traders submit orders before prices are determined. The order-driven system operates either as a continuous auction, with immediate order execution, or as a periodic auction, where orders are stored for simultaneous execution. With free entry into market making, the continuous systems are equivalent. While a periodic auction offers greater price efficiency and can function where continuous mechanisms fail, traders must sacrifice continuity and bear higher information costs. |
| doi_str_mv | 10.1111/j.1540-6261.1992.tb04403.x |
| format | Article |
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| ispartof | The Journal of finance (New York), 1992-06, Vol.47 (2), p.607-641 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1112141898 |
| source | Periodicals Index Online; JSTOR Archive Collection A-Z Listing |
| subjects | Auction markets Auction theory Auctions Market Market clearing prices Market equilibrium Market mechanisms Market prices Price efficiency Price formation Price variance Public information Securities markets Securities trading Security Stock exchanges Studies Trade models Traders |
| title | Trading Mechanisms in Securities Markets |
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