Market vs. limit orders

Once you find one paper, it's easy to find several more. Here are a few links:


http://www.sec.gov/rules/other/3437302.shtml


http://www.nyse.com/about/NT0001875A.html


http://www.olin.wustl.edu/faculty/li...mit_Market.pdf


The rough consensus of the papers I've found is that on average, you get better execution with limit orders than with market orders. However, there are exceptions (in particular, if you are trading on very short horizon information), and there are possible weaknesses to each study, which I'm guessing eLROY can elaborate on.