英文标题：
《Scaling of inefficiencies in the U.S. equity markets: Evidence from
  three market indices and more than 2900 securities》
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作者：
John H. Ring IV, Colin M. Van Oort, David R. Dewhurst, Tyler J. Gray,
  Christopher M. Danforth, and Brian F. Tivnan
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最新提交年份：
2020
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英文摘要：
  Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from direct feeds. We observe a total of over 3.1 billion dislocation segments in the Russell 3000 during trading in 2016, roughly 525 per second of trading. However, these dislocations do not occur uniformly throughout the trading day. We identify a characteristic structure that features more dislocations near the open and close. Additionally, around 23% of observed trades executed during dislocations. These trades may have been impacted by stale information, leading to estimated opportunity costs on the order of $ 2 billion USD. A subset of the constituents of the S&P 500 index experience the greatest amount of opportunity cost and appear to drive inefficiencies in other stocks. These results quantify impacts of the physical structure of the U.S. National Market System.
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中文摘要：
我们使用美国股票市场交易活动的最全面、最商业化的数据集，对SIP国家最佳出价和出价（NBBO）与由直接feed构建的合成BBO之间的报价错位进行了分类和分析。2016年交易期间，我们观察到Russell 3000共有超过31亿个错位细分市场，约为每秒525个。然而，这些错位在整个交易日并不是均匀发生的。我们确定了一种特征结构，该结构在开闭附近具有更多的位错。此外，大约23%的观察交易在错位期间执行。这些交易可能受到陈旧信息的影响，导致估计的机会成本约为20亿美元。标普500指数的一部分成分股经历了最大的机会成本，似乎导致了其他股票的低效率。这些结果量化了美国国家市场体系物理结构的影响。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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