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1、JournalofFinancialMarkets3(2000)205}258qMarketmicrostructure:AsurveyAnanthMadhavan*MarshallSchoolofBusiness,UniversityofSouthernCalifornia,LosAngeles,CA90089-1427,USAAbstractMarketmicrostructurestudiestheprocessbywhichinvestors'latentdemandsareultimatelytranslatedintoprices
2、andvolumes.Thispaperreviewsthetheoretical,empiri-calandexperimentalliteratureonmarketmicrostructurerelatingto:(1)priceformation,includingthedynamicprocessbywhichpricescometoimpoundinformation,(2)marketstructureanddesign,includingtherelationbetweenpriceformationandtradingpro
3、to-cols,(3)Transparency,theabilityofmarketparticipantstoobserveinformationaboutthetradingprocess,and(4)Applicationstootherareasofxnanceincludingassetpricing,international"nance,andcorporate"nance.(2000ElsevierScienceB.V.Allrightsreserved.JELclassixcation:G10;G34Keywords:Mar
4、ketmicrostructure;Liquidity;Securityprices;Transparency;Marketdesign1.IntroductionThelasttwodecadeshaveseenatremendousgrowthintheacademicliteraturenowknownasmarketmicrostructure,theareaof"nancethatisqIthankAvanidharSubrahmanyam(editor),RichLyonsandparticipantsattheMarketMic
5、ro-structurePh.D.seminaratErasmusUniversityfortheircomments.Ihavealsobene"tedgreatlyfrompastdiscussionswithIanDomowitz,MargaretForster,LarryHarris,DonKeim,andSeymourSmidtthatarere#ectedinthispaper.Ofcourse,anyerrorsareentirelymyown.(AnanthMadhavan,2000.*Correspondingauthor.
6、Tel.:#1-213-740-6519;fax:#1-213-740-6650.E-mailaddress:amadhava@bus.usc.edu(A.Madhavan).1386-4181/00/$-seefrontmatter(2000ElsevierScienceB.V.Allrightsreserved.PII:S1386-4181(00)00007-0206A.Madhavan/JournalofFinancialMarkets3(2000)205}258concernedwiththeprocessbywhichinvesto
7、rs'latentdemandsareultimatelytranslatedintotransactions.Interestinmicrostructureandtradingisnotnew1buttherecentliteratureisdistinguishedbytheoreticalrigorandextensiveempiricalvalidationusingnewdatabases.Somerecentbooksandarticleso!ervaluablesummariesofimportantele-mentsofth
8、emarketmicrostructureliterature.O'Hara's(1995)bookprovidesanexcellentanddetailedsu
