Order characteristics and stock price evolution An application to program trading
用计量方法分析纽约证券交易所自动订单的信息含量，发现订单能预测股票回报，且程序交易和指数套利订单包含超越期货回报和基差的信息。
This paper is an econometric analysis of the information content of automated orders arriving at the NYSE. The model captures the joint behavior of automated orders and also the return on the stock index future and the futures-spot basis. The results indicate that orders contain information useful in predicting stock returns beyond the information contained in the reported trades. Furthermore, program and index-arbitrage orders contain information beyond that available from the futures return and basis, suggesting that these orders are not merely passive conveyors of common-factor information. Nonprogram, program, and index-arbitrage orders have roughly similar price impacts.