Limited Attention and the Allocation of Effort in Securities Trading
研究纽约证券交易所专家如何因注意力有限而将精力集中于活跃股票，导致其他股票价格改善减少、交易成本上升，从而影响市场流动性。
ABSTRACT While limited attention has been analyzed in a variety of economic and psychological settings, its impact on financial markets is not well understood. In this paper, we examine individual NYSE specialist portfolios and test whether liquidity provision is affected as specialists allocate their attention across stocks. Our results indicate that specialists allocate effort toward their most active stocks during periods of increased activity, resulting in less frequent price improvement and increased transaction costs for their remaining assigned stocks. Thus, the allocation of effort due to limited attention has a significant impact on liquidity provision in securities markets.