Kaniel, R.; Liu, H. - Rodney L. White Center for Financial Research, Wharton … - 1998
Transactions, market orders and limit orders are three major factors which affect a specialist's information set and … her inventory position. In modeling a specialist's quote updating process, before any exclusion of any of these factors … market orders. Furthermore, we find that market orders convey more information than limit orders about the value of the …