The importance of firm quotes and rapid executions: Evidence from the January 1994 SOES rules changes
研究纳斯达克小单执行系统（SOES）规则变化对交易的影响，发现SOES交易包含短期价格信息，规则变化后交易量大幅下降，但买卖价差未受影响。
Nasdaq's Small Order Execution System (SOES) allows orders to be submitted by computer, thereby assuring rapid execution at quoted prices. We examine trading in the 20 largest Nasdaq stocks around the time of a rule change that reduced the largest SOES trades from 1000 to 500 shares. We show that SOES trades contain information about short-term price movements and that SOES trading declined dramatically with the rule change. However, quoted and effective spreads were unaffected by the rule change.