Flashes of Trading Intent at NASDAQ
利用纳斯达克引入又取消闪单功能作为自然实验，发现闪单显著改善流动性，且整体市场质量随闪单引入而提升、取消而下降，这归因于交易场所间流动性提供者的竞争加剧。
Abstract We use the introduction and subsequent removal of the flash-order functionality from NASDAQ as a natural experiment to investigate the impact of voluntary disclosure of trading intent on market quality. We find that flash orders significantly improve liquidity in NASDAQ. Furthermore, overall market quality improves (deteriorates) when flash functionality is introduced (removed). This result can be attributed to increased competition among liquidity suppliers across competing trading venues. Alternatively, flash orders attract responses from reactive traders immediately after the announcement, attracting more “hidden liquidity” and lowering risk-bearing costs for the overall market.