An Examination of Changes in Specialists’ Posted Price Schedules
研究纽约证券交易所专家做市商如何更新其报价单，发现限价订单簿的最佳价格和深度变化对报价单影响显著，而交易和订单活动的影响较小，且专家调整价格和深度的方式不同，但未发现其因库存变化而调整报价单。
New York Stock Exchange specialists disseminate information to market participants by displaying price schedules consisting of bid prices, ask prices, bid depths, and ask depths. We examine how specialists update these price schedules in a simultaneous equations model. We find that changes in the best prices and depths on the limit order book have a significant impact on the posted price schedule, while the effects of transactions and order activity are secondary. Furthermore, we show that specialists revise prices and depths differently, but find no evidence that they revise the price schedule in response to changes in inventory.