Quotes, Order Flow, and Price Discovery
The Journal of Finance
The goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE-listed stocks. The conclusions are: most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best dis- played quote, and the NYSE is the most frequent initiator of quote changes. Non- NYSE markets attract a significant portion of their volume when they are posting inferior bids or offers, indicating they obtain order flow for other reasons, such as "payment for order flow." Yet, when a non-NYSE market does post a better bid or offer, it does attract additional order flow.
Finance and Financial Management | Portfolio and Security Analysis
Goldstein, Michael A., Marshall E. Blume. 1997. "Quotes, Order Flow, and Price Discovery." The Journal of Finance 52, no. 1: 221-244.