The Information Content of Trades

9320889基弗市场的运作和价格的确定是经济学的中心问题。特别是资本市场的有效运作，对资源的有效配置至关重要。在美国和其他发达国家，股市是资本配置的关键。在美国的制度中，做市商，即被分配给某一特定股票或一组股票的专家，负责维持这些股票的市场。做市商报价买入和要价，并根据市场活动进行调整。做市商通过观察订单流动来积累信息。这个项目的目的是利用逐笔交易数据开发和估计订单流动过程和做市商行为的模型。特别是，将衡量交易规模的信息含量，以评估金融市场“撇清奶油”的影响，并将审查流动性和信息之间的相互作用。***

9320889 Kiefer The operation of markets and the determination of prices are central issues in economics. Efficient operation of capital markets, in particular, is crucial to the efficient allocation of resources. The stock market is key to the allocation of capital in the U.S. and other developed countries. In the U.S. system, the market maker, the specialist assigned to a particular stock or group os stocks, is responsible for maintaining the market in those stocks. The market maker quotes bid and ask prices, and adjusts these in the light of market activity. The market maker accumulates information by watching the order flow. The purpose of this project is to develop and estimate a model of the order flow process and the market makers's behavior using trade by trade data. In particular the information content of trade size will be measured in order to assess the effects of "cream skimming" in financial markets and the interaction between liquidity and information will be examined. ***