Price Discovery without Trading: Evidence from Limit Orders
分析了高频交易者和非高频交易者的市价单与限价单对价格发现的贡献，发现限价单贡献更大，且高频交易者的限价单是主要来源，其贡献随波动率下降。
ABSTRACT We analyze the contribution to price discovery of market and limit orders by high‐frequency traders (HFTs) and non‐HFTs. While market orders have a larger individual price impact, limit orders are far more numerous. This results in price discovery occurring predominantly through limit orders. HFTs submit the bulk of limit orders and these limit orders provide most of the price discovery. Submissions of limit orders and their contribution to price discovery fall with volatility due to changes in HFTs’ behavior. Consistent with adverse selection arising from faster reactions to public information, HFTs’ informational advantage is partially explained by public information.