一、引言金融市场微观结构研究的主要内容之一是市场交易机制。当前世界各证券交易市场采用的交易机制主要分为报价驱动系统和指令驱动系统。报价驱动系统设做市商,做市商对其做市的证券报出买卖报价,投资者根据买卖报价直接与做市商进行交易,提交的指令不需要等待,马上可以与做 I. Introduction One of the main contents of the study on the microstructure of financial markets is the market transaction mechanism. The current trading mechanisms used in various stock exchanges in the world are mainly divided into quotation-driven systems and command-driven systems. Quote-driven system is set to do a market maker, the market maker makes a quote on the market for the securities it quotes. The investor transacts directly with the market maker according to the quotation of the sale. The order submitted does not need to be waited.