Order Form and Information in Securities Markets
研究价格条件订单对证券价格的影响，发现做市商在知晓订单类型和构成时会扩大价差并更快调整价格，同时订单类型的不确定性会降低价格方差但损害价格信息含量，并增加大幅价格波动的概率。
ABSTRACT This paper examines the effects of price‐contingent orders on security prices. We show that a market maker who knows the type and composition of trades will set larger spreads and adjust prices faster than if price‐contingent orders were not allowed. Because traders have rational expectations over the book, we demonstrate that uncertainty over order type reduces the variance of prices but with a corresponding loss in price informativeness. We also show that the sequence property of price‐contingent orders increases the probability of large price movements. This distinction between variance and episodic price volatility has important policy implications.