Price efficiency and trading behavior in limit order markets with competing insiders
通过实验室限价订单市场研究信息不对称下内幕者数量及知情范围对价格效率的影响，发现内幕者越多价格效率越高，且内幕者偏好市价单以获取即时交易。
Abstract We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of insiders present. We observe that price efficiency (i) is the higher the higher the number of insiders in the market but (ii) is unaffected by changes in the subset of traders who know about the number of insiders present. (iii) Independent of the number of insiders, price efficiency increases gradually over time. (iv) The insiders’ information is reflected in prices via limit (market) orders if the asset’s value is inside (outside) the bid-ask spread. (v) In situations where limit and market orders yield positive profits, insiders clearly prefer market orders, indicating a strong desire for immediate transactions.