RT Journal Article
SR Electronic
T1 Market Structure Matters
JF The Journal of Trading
FD Institutional Investor Journals
SP 15
OP 17
DO 10.3905/jot.2012.7.1.015
VO 7
IS 1
A1 Charles Polk
A1 Evan Schulman
YR 2011
UL https://pm-research.com/content/7/1/15.abstract
AB Richard Roll observed that continuous markets are more volatile than other market structures. If it is true that continuous markets induce volatility, then unless we change that market structure, we will continue to be plagued with sporadic bursts of nonfunctional, uninformative volatility. This article looks to the underlying reasons and suggests a more serviceable market structure.TOPICS: Equity portfolio management, exchanges/markets/clearinghouses, volatility measures