Shortly after the opening bell on what ended up being the busiest session in U.S. stock-market history, an investor sold two shares of Amazon.com Inc. To a professor who analyzed that day’s trades, this tiny transaction illustrates a major flaw in the system.
The trade went through at $3,283.4901 per share -- one-hundredth of a cent better than what was officially the best available bid for the shares. That type of perk, however minuscule, is known as price improvement and is touted by market makers who match retail-brokerage buyers with sellers without using stock exchanges. Those fractions of a penny add up to billions of dollars a year.
