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Article

Market Structure Matters

Charles Polk and Evan Schulman
The Journal of Trading Winter 2012, 7 (1) 15-17; DOI: https://doi.org/10.3905/jot.2012.7.1.015
Charles Polk
is the president and founder at Martian Trust in Seattle, WA.
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  • For correspondence: polk@martiantrust.org
Evan Schulman
is the president and founder at Tykhe, LLC, in Boston, MA.
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  • For correspondence: evan@tykhe.biz
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Abstract

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.

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The Journal of Trading: 7 (1)
The Journal of Trading
Vol. 7, Issue 1
Winter 2012
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Market Structure Matters
Charles Polk, Evan Schulman
The Journal of Trading Dec 2011, 7 (1) 15-17; DOI: 10.3905/jot.2012.7.1.015

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Market Structure Matters
Charles Polk, Evan Schulman
The Journal of Trading Dec 2011, 7 (1) 15-17; DOI: 10.3905/jot.2012.7.1.015
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  • Article
    • Abstract
    • THE BASIC PROBLEM
    • MITIGATING STRATEGY #1: LIMIT ORDERS
    • MITIGATING STRATEGY #2: PARTIAL EXECUTIONS
    • A BETTER MARKET STRUCTURE
    • ENHANCING THE CALL MARKET TO ADDRESS THE BASIC PROBLEM
    • THE AND CONDITION
    • THE OR CONDITION
    • COMPELLING EVIDENCE IN FAVOR OF THE COMBINATORIC CALL MARKET
    • TRANSITIONING TO A BETTER MARKET STRUCTURE
    • ENDNOTE
    • REFERENCES
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