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Optimal Market Structure: Does One Shoe Fit All?

There is a growing realization among regulators and managers of competing trading venues (incumbent stock exchanges, in particular) that the design of the trading mechanism is the most important determinant of a market’s ability to compete for order flow. To understand how different trading venues succeed in capturing trading activity in a particular security, one has to understand which attributes of the trading venue are most important for trading activity. Moreover, the ability of different trading mechanisms to offer lower trading costs to an investor depends critically on the trading needs or characteristics of the investors themselves. Given that investors seek best execution of their trades, and best execution encompasses traded price, market impact, immediacy, timing, anonymity, and commissions, it is not surprising to see investors choose different trading venues based on how well each venue fulfills different combinations of these aspects’ execution quality.