Cream‐Skimming or Profit‐Sharing? The Curious Role of Purchased Order Flow
研究交易所或做市商向经纪商支付费用以获取零售订单流的行为，通过交易随机过程模型检验其是否用于“撇脂”无信息流动性交易，并基于纽交所和辛辛那提交易所的股票数据发现两地订单信息含量差异与撇脂假说一致。
ABSTRACT Purchased order flow refers to the practice of dealers or trading locales paying brokers for retail order flow. It is alleged that such agreements are used to “cream skim” uninformed liquidity trades, leaving the information‐based trades to established markets. We develop a test of this hypothesis, using a model of the stochastic process of trades. We then estimate the model for a sample of stocks known to be used in order purchase agreements that trade on the New York Stock Exchange (NYSE) and the Cincinnati Stock Exchange. Our main empirical result is that there is a significant difference in the information content of orders executed in New York and Cincinnati, and that this difference is consistant with cream‐skimming.