US股票市场的碎片化和低效率：来自道琼斯30指数的证据
Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30
摘要：
使用美国国家市场系统最全面的商业数据来源，我们从单一和固定的参考框架的有利位置分析了2016年与道琼斯30指数股票相关的所有报价和交易。我们发现，部分由股票市场的碎片化造成的低效率是相对普遍的，并且持续的时间比物理约束可能表明的时间更长。信息反馈报告了同一股票的不同价格超过1.2亿次，其中近6400万个错位部分具有更长的持续时间和更高的幅度。在此期间，大约22%的交易发生在SIP和聚合直接馈送错位的情况下。当前的市场配置导致已实现的机会成本总计超过1.6亿美元，与单一进料、单一交换替代方案相比--这是一个保守的估计，没有考虑日内抵消事件。
英文摘要：
Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by the fragmentation of the equity marketplace are relatively common and persist for longer than what physical constraints may suggest. Information feeds reported different prices for the same equity more than 120 million times, with almost 64 million dislocation segments featuring meaningfully longer duration and higher magnitude. During this period, roughly 22% of all trades occurred while the SIP and aggregated direct feeds were dislocated. The current market configuration resulted in a realized opportunity cost totaling over $160 million when compared with a single feed, single exchange alternative---a conservative estimate that does not take into account intra-day offsetting events.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
