Information‐Based Trading and Price Improvement
检验价格改善的信息假说，发现价格改善与信息交易概率和交易价格冲击负相关，表明流动性提供者根据交易信息内容选择性提供价格改善。
Abstract: In this study we test the information hypothesis of price improvement. Our results show that price improvement is negatively related to both the probability of information‐based trading and the price impact of trades. We interpret these results as evidence that liquidity providers selectively offer price improvements according to the information content of trades. We also show that liquidity providers offer greater (and more frequent) price improvements when they are at the NBBO, and for stocks with wider spreads, fewer trades, or smaller trade sizes relative to the quoted depth. Buyer‐initiated trades receive smaller (larger) price improvements than seller‐initiated trades on the NYSE (NASDAQ).