Speed and learning in high-frequency auctions

被引：2
|
作者：
Haas, Marlene [1 ]
Khapko, Mariana [2 ]
Zoican, Marius [3 ]
机构：
[1] Cornerstone Res, 2001 K St NW,North Tower,Suite 800, Washington, DC 20006 USA
[2] Univ Toronto Scarborough, Rotman Sch Management, Scarborough, ON, Canada
[3] Univ Toronto Mississauga, Rotman Sch Management, Mississauga, ON, Canada
来源：
JOURNAL OF FINANCIAL MARKETS | 2021年 / 54卷
关键词：
High-frequency trading; Batch auction markets; Liquidity; Adverse selection; MARKET QUALITY; INFORMATION; IMPACT; ASK;
D O I：
10.1016/j.finmar.2020.100583
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Faster trading improves liquidity in periodic call auction markets, in contrast to continuous time markets. We build a model where high-frequency traders (HFTs) engage in duels to trade on stale quotes. More frequent periodic auctions increase the likelihood that a single HFT arrives in any given auction and subsequently acts as a monopolist on information. Higher trading speed increases the expected number of arbitrageurs participating in auctions, promoting competition between snipers and improving liquidity. We find that faster trading and longer auction intervals are substitute instruments to reduce bid-ask spreads. Relative to continuous-time trading, periodic batch auctions reduce HFT informational rents. (c) 2020 Elsevier B.V. All rights reserved.
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页数：14
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