Does Algorithmic Trading Improve Liquidity?
利用纽约证券交易所2003年自动报价传播这一外生变化，研究算法交易对流动性的因果影响，发现算法交易缩小了价差、减少了逆向选择，并提高了报价的信息含量。
ABSTRACT Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis of this question. The New York Stock Exchange automated quote dissemination in 2003, and we use this change in market structure that increases AT as an exogenous instrument to measure the causal effect of AT on liquidity. For large stocks in particular, AT narrows spreads, reduces adverse selection, and reduces trade‐related price discovery. The findings indicate that AT improves liquidity and enhances the informativeness of quotes.