文档介绍：Journal of Financial Markets 3 (2000) 205}258
Market microstructure: A surveyଝ
Ananth Madhavan*
Marshall School of Business, 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 formation,
including the dynamic process by which e 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 of xnance including asset pricing,
international "nance, and corporate "nance. ( 2000 Elsevier Science . All rights
reserved.
JEL classixcation: G10; G34
Keywords: 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 "nance that is
ଝI thank Avanidhar Subrahmanyam (editor), Rich Lyons and participants at the Market Micro-
structure . seminar at Erasmus University for ments. I have also bene"ted greatly
from past discussions with Ian Domowitz, Margaret Forster, Larry Harris, Don Keim, and Seymour
Smidt that are re#ected in this paper. Of course, any errors are entirely my own. ( Ananth
Madhavan, 2000.
* Corresponding author. Tel.: #1-213-740-6519; fax: #1-213-740-6650.
E-mail address: ******@ (A. Madhavan).
1386-4181/00/$ - see front matter ( 2000 Elsevier Science . All rights reserved.
PII: S 1 3 8 6 - 4 1 8 1 ( 0 0 ) 0 0 0 0 7 - 0
206 A. Madhavan / Journal of Financial Markets 3 (2000) 205}258
concerned with the process by which investors' latent demands are ultimately
translated in