Trade Transparency and the London Stock Exchange
利用伦敦证券交易所42只股票两年的交易和报价数据，研究延迟公布大额交易对买卖价差、做市商库存控制、价格冲击以及期权市场的影响。
Abstract On the London Stock Exchange the publication of large trades is delayed to give the market‐maker concerned time to unwind the change in their inventory. Using trade and quotations data on 42 stocks for two years, a number of different effects are investigated. These include the association between trade size and the traded bid‐ask spread, the inventory control policies of individual market‐makers around large trades, the size and speed of the price impact of large trades whose publication is delayed, and the effects of delayed publication on the volume and spreads of the traded equity options market.