High-Frequency Trading and Market Performance

被引：44

作者：

Baldauf, Markus ^{[1
]}

Mollner, Joshua ^{[2
]}

机构：

[1] Univ British Columbia, Sander Sch Business, Vancouver, BC, Canada

[2] Northwestern Univ, Kellogg Sch Management, 2211 Campus Dr, Evanston, IL 60208 USA

来源：

JOURNAL OF FINANCE | 2020年 / 75卷 / 03期

关键词：

LIMIT ORDER BOOK; INFORMATION; COMPETITION; PRICE; LIQUIDITY; FRAGMENTATION; AUCTIONS; IMPACT; SIZE; FEES;

D O I：

10.1111/jofi.12882

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the consequences of, and potential policy responses to, high-frequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT, with consequences for this tradeoff: Information production decreases because informed traders have less time to trade before HFTs react, but liquidity (measured by the bid-ask spread) improves because informational asymmetries decline. HFT also pushes outcomes inside the frontier of this tradeoff. However, outcomes can be restored to the frontier by replacing the limit order book with one of two alternative mechanisms: delaying all orders except cancellations or implementing frequent batch auctions.

引用

页码：1495 / 1526

页数：32

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