Need for Speed? Exchange Latency and Liquidity

• 成果类型: Article
• 署名作者: Menkveld, Albert J.; Zoican, Marius A.
• 署名单位: Vrije Universiteit Amsterdam; Universite PSL; Universite Paris-Dauphine
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx006
• 发表日期: 2017
• 页码: 1188
• 关键词: market; auctions; IMPACT

摘要

A faster exchange does not necessarily improve liquidity. On the one hand, speed enables a high-frequency market maker (HFM) to update quotes faster on incoming news. This reduces payoff risk and thus lowers the competitive bid-ask spread. On the other hand, HFM price quotes are more likely to meet speculative high-frequency bandits, and thus are less likely to meet liquidity traders. This raises the spread. The net effect of exchange speed depends on a security's news-to-liquidity-trader ratio.