Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow
研究交易商或交易场所向经纪商支付费用购买零售订单流的做法，通过模型和实证检验发现纽约与辛辛那提交易所执行的订单信息含量存在显著差异，支持“撇脂”假说。
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.