Market orders cross the half-spread

来源: marketreflections 于 2011-08-19 22:21:13 [] [博客] [旧帖] [给我悄悄话] 阅读数 : (807 bytes)

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.

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