文档介绍：Market Microstructure: A Survey*
Ananth Madhavan
Marshall School of Business
University of Southern California
Los Angeles, CA 90089-1427
(213)-740-6519
March 16, 2000
Market microstructure is the area of finance that studies the process by which investors’ latent
demands are ultimately translated into prices and volumes. This paper reviews the theoretical,
empirical and experimental literature on market microstructure with a special focus on
informational issues relating to: (1) Price formation and price discovery, including both static
issues such as the determinants of trading costs and dynamic issues such the process by which
e to impound information over time, (2) Market structure and design, including the
relation between price formation and trading protocols, (3) Information and disclosure,
especially the topic of market transparency, ., the ability of market participants to observe
information about the trading process, and (4) Interface of market microstructure with other
areas of finance including asset pricing, international finance, and corporate finance. I discuss
the implications of recent research for academics, investors, policy makers, and regulators.
JEL Classification: G10, G34
Keywords: Market microstructure, liquidity, security prices, transparency, market design
* I thank Avanidhar Subrahmanyam (editor), Rich Lyons and participants at the Market Micro-
structure . seminar at Erasmus University for ments. 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.
© Ananth Madhavan, 2000.
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 concerned with the process by which
investors’ latent demands are ultimately translated into transactions. Interest in