Liquidity and Information in Limit Order Markets
研究了知情交易如何影响限价订单市场的流动性，发现知情交易者比例提高会改善买卖价差和市场弹性，且不影响订单的价格冲击。
How does informed trading affect liquidity in limit order markets, where traders can choose between market orders (demanding liquidity) and limit orders (providing liquidity)? In a dynamic model, informed trading overall helps liquidity: A higher share of informed traders i) improves liquidity as proxied by the bid–ask spread and market resiliency, and ii) has no effect on the price impact of orders. The model generates other testable implications, and suggests new measures of informed trading.