Market Structure Matters
In: The journal of trading: JOT, Band 13, Heft 4, S. 82-84
ISSN: 1559-3967
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.