Informed Trading and Market Structure
研究了伦敦证券交易所信息发布期间的交易行为，发现电子市场能降低流动性股票的交易成本，但中介交易能减少逆向选择成本，且电子市场更容易出现隐蔽交易和交易后波动。
Abstract We examine London Stock Exchange trading around information releases and link market quality dimensions with market structure during periods with heightened interaction between informed and uninformed traders. We find support for both the hypothesis that automated electronic markets minimise trading costs for liquid stocks and the hypothesis that adverse selection costs are minimised with intermediated trading. We examine how news affects both dealer and electronic systems and find that electronic markets are prone to greater stealth trading and post‐trade volatility, both consistent with the proliferation of algorithmic trading and short‐term volatility events such as the May 6, 2010 ‘flash crash.’