Liquidity Cycles and Make/Take Fees in Electronic Markets

• 成果类型: Article
• 署名作者: Foucault, Thierry; Kadan, Ohad; Kandel, Eugene
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Washington University (WUSTL); Hebrew University of Jerusalem
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01801.x
• 发表日期: 2013
• 页码: 299-341
• 关键词: limit order book; adverse selection; FLOW; COMPETITION; volume; MODEL

摘要

We develop a model in which the speed of reaction to trading opportunities is endogenous. Traders face a trade-off between the benefit of being first to seize a profit opportunity and the cost of attention required to be first to seize this opportunity. The model provides an explanation for maker/taker pricing, and has implications for the effects of algorithmic trading on liquidity, volume, and welfare. Liquidity suppliers and liquidity demanders trading intensities reinforce each other, highlighting a new form of liquidity externalities. Data on durations between trades and quotes could be used to identify these externalities.