Why Do Traders Split Orders?
研究了美国股票交易者为何在同一股票、同一方向、相近时间执行一连串订单，发现订单拆分更可能发生在订单规模大、市场深度和交易活动低时，拆分者流动性需求高、交易成本高但整体表现更好，且拆分订单比单笔订单信息含量更高。
Abstract We examine factors that influence decisions by U.S. equity traders to execute a string of orders, in the same stock, in the same direction, around the same time. Order splitting is more likely to occur when traders submit larger‐size orders and when market depth and trading activity are lower. Order splitters demand liquidity more and pay higher trading costs, but their overall performance is better. When controlling for execution time, split orders are more informative than single orders. Our results suggest that order splitting arises from a variety of factors, including informational differences, order and trader characteristics, and market conditions.