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德姆塞茨(Demsetz)在1968年发表了题为The Cost of Transacting的文章中,首次在交易价格的形成中引入交易机制因素。此后,金融市场微观结构理论逐渐被认识和发展。本文中,笔者将对金融市场微观结构理论的发展脉络进行整理归纳以期能够更好的理解金融市场微观结构理论,并阐述未来该领域的研究方向。
In an article entitled The Cost of Transacting, Demsetz published in 1968, for the first time introduced a trading mechanism in the formation of transaction prices. Since then, the theory of the microstructure of financial markets has been gradually recognized and developed. In this article, I will summarize the development of micro-structure theory of financial markets in order to better understand the microstructure theory of financial markets and explain the research direction in the future.