Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy
提出了衡量市价单和限价单绩效的两种指标，并基于NYSE SuperDOT订单数据发现，限价单策略表现优于市价单，即使考虑未成交惩罚和价格改善后也是如此。
This paper discusses performance measures for market and limit orders. We suggest two measures: one for precommitted traders (who must trade) and another for passive traders (who are indifferent to trading). We compute these measures for a sample of NYSE Super? DOT orders. The results suggest that the limit order placement strategies most commonly used by NYSE SuperDOT traders do in fact perform best. Limit orders placed at or better than the prevailing quote perform better than do market orders, even after imputing a penalty for unexecuted orders, and after taking into account market order price improvement. Un? conditional order submission strategies that use SuperDOT to offer liquidity in competition with the specialist do not appear to be profitable.