Competition among liquidity providers with access to high-frequency trading technology

被引：11

作者：

Bongaerts, Dion ^{[1
]}

Van Achter, Mark ^{[2
,3
]}

机构：

[1] Erasmus Univ, Rotterdam Sch Management, Dept Finance, Burgemeester Oudlaan 50,POB 1738, NL-3000 DR Rotterdam, Netherlands

[2] Katholieke Univ Leuven, Fac Econ & Business FEB, Antwerp Carolus Campus,Korte Nieuwstr 33, B-2000 Antwerp, Belgium

[3] Liquid House,Aalmoezenierstr 13, B-2000 Antwerp, Belgium

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2021年 / 140卷 / 01期

关键词：

Adverse selection; Liquidity; Latency; Informed trading; Trading technology;

D O I：

10.1016/j.jfineco.2020.11.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We model endogenous technology adoption and competition among liquidity providers with access to High-Frequency Trading (HFT) technology. HFT technology provides speed and information advantages. Information advantages may restore excessively toxic markets. Speed advantages may reduce resource costs for liquidity provision. Both effects increase liquidity and welfare. However, informationally advantaged HFTs may impose a winner's curse on traditional market makers, who in response reduce their participation. This increases resource costs and lowers the execution likelihood for market orders, thereby reducing liquidity and welfare. This result also holds when HFT technology dominates traditional technology in terms of costs and informational advantages. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：220 / 249

页数：30

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