The Evolution of Informed Liquidity Provision: Evidence from an Order‐driven Market
研究了2006至2012年间澳大利亚证券交易所机构交易者的流动性供给策略变化，发现他们更频繁使用小订单和被动限价单，对市场条件更敏感，且知情程度更高，但2012年其限价单日内价格影响降低，与算法和高频交易普及有关。
Abstract The liquidity provision strategies by institutional traders on the ASX have changed over the period 2006 to 2012. Besides using smaller‐sized orders more frequently than their retail counterparts, they have increased the use of passive limit orders. Institutional traders are found to be more sensitive and responsive to changes in market conditions. Analyses on order placement and price impact suggest that institutional traders are better informed. However, their limit orders are found to have a lower price impact at the intra‐day level in the 2012 subsample period. We show evidence this is associated with the proliferation of algorithmic and high frequency trading.