Order Form and Information in Securities Markets
研究价格条件订单对证券价格的影响，发现做市商在知道订单类型和构成时会扩大价差并更快调整价格，而订单类型的不确定性会降低价格方差但损害信息效率，同时订单序列特性会增加大幅价格波动的概率。
This paper examines the effects of price-contingent orders on security prices. We show that a market maker who knows the type and composition of trades will set larger spreads and adjust prices faster than if price-contingent orders were not allowed. Because traders have rational expectations over the book, we demonstrate that uncertainty over order type reduces the variance of prices but with a corresponding loss in price informativeness. We also show that the sequence property of price-contingent orders increases the probability of large price movements. This distinction between variance and episodic price volatility has important policy implications.