Competition for Order Flow and Smart Order Routing Systems
研究泛欧交易所与伦敦证券交易所在荷兰股票市场的竞争，发现市场分割后合并限价订单簿深度增加，且进入市场的高穿透率伴随流动性供给减少，表明订单流分割可增强流动性供给，保护限价订单免受穿透很重要。
ABSTRACT We study the rivalry between Euronext and the London Stock Exchange (LSE) in the Dutch stock market to test hypotheses about the effect of market fragmentation. As predicted by our theory, the consolidated limit order book is deeper after entry of the LSE. Moreover, cross‐sectionally, we find that a higher trade‐through rate in the entrant market coincides with less liquidity supply in this market. These findings imply that (i) fragmentation of order flow can enhance liquidity supply and (ii) protecting limit orders against trade‐throughs is important.