The Trades of Market Makers: An Empirical Analysis of NYSE Specialists
对纽交所专家的交易活动进行逐笔实证分析，发现库存调整滞后因股票而异，专家利润主要来自短期交易，且专家参与的买卖对报价的即时影响更大。
ABSTRACT This paper presents a transaction‐level empirical analysis of the trading activities of New York Stock Exchange specialists. The main findings of the analysis are the following. Adjustment lags in inventories vary across stocks, and are in some cases as long as one or two months. Decomposition of specialist trading profits by trading horizon shows that the principal source of these profits is short term. An analysis of the dynamic relations among inventories, signed order flow, and quote changes suggests that trades in which the specialist participates have a higher immediate impact on the quotes than trades with no specialist participation.