Liquidity-Based Competition for Order Flow
建立了一个基于流动性提供的交易所订单流竞争微观结构模型，发现纯限价订单市场和混合专家限价订单市场结构都无法免于竞争，订单偏好是市场生存的关键，交易所竞争可能增加或降低流动性成本。
We present a microstructure model of competition for order flow between exchanges based on liquidity provision. We find that neither a pure limit order market (PLM) nor a hybrid specialist-limit order market (HM) structure is competition-proof. A PLM can always be supported in equilibrium as the dominant market (i.e., where the hybrid limit book is empty), but an HM can also be supported, for some market parameterizations, as the dominant market. We also show the possible coexistence of competing markets. Order preferencing--that is, decisions about where orders are routed when investors are indifferent--is a key determinant of market viability. Welfare comparisons show that competition between exchanges can increase as well as reduce the cost of liquidity. Copyright 2003, Oxford University Press.