Order Flow and Liquidity around NYSE Trading Halts
研究纽交所交易暂停期间订单流与流动性的变化，发现暂停期间订单提交与撤销显著增加，复牌价格能较好预测未来价格，且专家与场内交易员在此时提供额外流动性。
We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly during trading halts, that a large proportion of the limit order book at the reopen is composed of orders submitted during the halt, and that the market‐clearing price at the reopen is a good predictor of future prices. Depth near the quotes is unusually low around trading halts, though specialists and/or floor traders appear to provide additional liquidity at these times. Finally, specialists appear to “spread the quote” prior to imbalance halts to convey information to market participants.