Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets
利用2018年美国部分农产品期货市场提高最大订单规模的自然实验，发现放宽订单规模限制能显著改善市场流动性、降低买卖价差和大单价格冲击，提升市场质量。
Abstract We exploit a 2018 exchange‐mandated increase of the maximum order size in some—but, crucially, not all—US agricultural futures markets, to link exogenous constraints on order placement and execution, price volatility, and market liquidity. The old maximum size of 2500 contracts was binding: demand exists for placing and executing much larger orders. Limit‐order book depth at the best bid and ask increases dramatically after the exchange quadruples the maximum order size. Amid relatively stable volatility, bid‐ask spreads narrow, and the price impact of large trades falls. In sum, we find that market quality can improve after an increase in maximum order and trade size.