Fast traders make a quick buck: The role of speed in liquidity provision

被引：2
|
作者：
Baldauf, Markus [1 ]
Mollner, Joshua [2 ]
机构：
[1] Univ British Columbia, Sauder Sch Business, Vancouver, BC, Canada
[2] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA
来源：
JOURNAL OF FINANCIAL MARKETS | 2022年 / 58卷
基金：
美国国家科学基金会;
关键词：
High-frequency trading; Liquidity provision; Speed heterogeneity; MARKET; AUCTIONS; PRICES; ASK;
D O I：
10.1016/j.finmar.2021.100621
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In modern public equity markets, liquidity is provided by a heterogeneous set of traders with vastly different speeds. We study the consequences of information arrival in such a setting. We present a model that predicts faster traders achieve a relative increase in profits obtained from liquidity provision following information events through (i) avoiding adverse selection by canceling mispriced quotes, and (ii) winning the race to post updated quotes. We also find strong support for these model predictions using data from the Toronto Stock Exchange. The identification strategy is based on an unanticipated "fake news" event in which the Twitter feed of the Associated Press falsely reported a terrorist attack.(c) 2021 Elsevier B.V. All rights reserved.
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页数：22
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