Motive and Opportunity: Order Choice in a Limit Order Book With Dispersed Information
通过实验限价订单簿检验信息分散时交易者订单选择的决定因素，发现知情交易者表现出耐心并偏好限价订单以隐藏信息。
ABSTRACT We test predictions of market microstructure theory relating to the determinants of order choice in a limit order book where information is dispersed among traders. Using an experimental limit order book, with a large state space, we find that informed traders exhibit patience, compatible with the ‘waiting game’ behaviour described in Foster and Viswanathan. In responding to expected profits, informed traders prefer limit orders that disguise their information as predicted by Roşu and Riccó et al.