Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE
研究纽约证券交易所引入OpenBook服务（向场外交易者提供限价订单簿信息）对交易行为和市场质量的影响，发现交易者缩小订单规模、加快撤单，专家参与率下降，但流动性因价格冲击减小而改善，信息效率也有所提升。
ABSTRACT We study pre‐trade transparency by looking at the introduction of NYSE's OpenBook service that provides limit‐order book information to traders off the exchange floor. We find that traders attempt to manage limit‐order exposure: They submit smaller orders and cancel orders faster. Specialists' participation rate and the depth they add to the quote decline. Liquidity increases in that the price impact of orders declines, and we find some improvement in the informational efficiency of prices. These results suggest that an increase in pre‐trade transparency affects investors' trading strategies and can improve certain dimensions of market quality.