Consistency between Predicted and Actual Bid-Ask Quote-Revisions
利用交易数据库检验实际报价修订是否与逆向选择和存货成本理论预测一致，发现仅25%的情况符合理论，且修订模式与价差水平和交易规模相关，这些模式与限价订单簿和最小价格变动规则有关。
This paper employs a “transaction” data-base to study whether observed quote-revisions are consistent with those predicted by the adverse selection and inventory cost theories of the bid-ask spread. We find that actual quote-revisions are consistent with the theoretical prediction in only 25% of the cases. Furthermore, quote-revision patterns are found to be strongly dependent on the level of the outstanding spread and, to a lesser extent, on the transaction size. These systematic patterns, unrelated to the inventory cost and adverse selection theories, are consistent with the effect on quote-revisions of the limit order book and the minimum 1/8 price-change rule.