Market orders cross the half-spread and are usually interpreted as resulting from agents possessing superior information that urges them to trade rapidly, at the expense of less informed traders,whoplace limit orders. Whether or not this interpretation is correct, it is an empirical fact that such market orders impact on prices, in the sense that there is some clear correlation between the sign of a trade and the following price change.
Market orders cross the half-spread
回答: gama01 Asymmetric Information about Volatility and Option Market
由 marketreflections
于 2011-08-18 20:40:35