Working Orders in Limit Order Markets and Floor Exchanges
分析知情交易者和流动性交易者在大额交易时选择一次性提交还是分批提交订单的策略，发现场内交易所中必然存在至少部分订单拆分，且完全拆分的均衡与限价订单市场中的整笔订单均衡等价。
ABSTRACT We analyze limit order markets and floor exchanges, assuming an informed trader and discretionary liquidity traders use market orders and can either submit block orders or work their demands as a series of small orders. By working their demands, large market order traders pool with small traders. We show that every equilibrium on a floor exchange must involve at least partial pooling. Moreover, there is always a fully pooling (worked order) equilibrium on a floor exchange that is equivalent to a block order equilibrium in a limit order market.