Limit Order Trading
分析限价订单交易背后的逻辑，指出其面临信息事件导致不利成交或错失良机的风险，但实证表明对组合均衡的交易者而言，限价订单优于市价订单，且纯限价订单策略可盈利。
ABSTRACT We analyze the rationale for limit order trading. Use of limit orders involves two risks: 1) an adverse information event can trigger an undesirable execution, and 2) favorable news can result in a desirable execution not being obtained. On the other hand, a paucity of limit orders can result in accentuated short‐term price fluctuations that compensate a limit order trader. Our empirical tests suggest that trading via limit orders dominates trading via market orders for market participants with relatively well balanced portfolios, and that placing a network of buy and sell limit orders as a pure trading strategy is profitable.