Order-Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays
研究交易所故意延迟订单执行对流动性和价格发现的影响，发现延迟会改善延迟交易所的流动性但恶化传统交易所，总体福利下降，价格发现影响取决于投机者数量。
Latency delays intentionally slow order execution at an exchange, often to protect market makers against latency arbitrage. We study informed trading in a fragmented market in which one exchange introduces a latency delay on market orders. Liquidity improves at the delayed exchange as informed investors emigrate to the conventional exchange, where liquidity worsens. In aggregate, implementing a latency delay worsens total expected welfare. We find that the impact on price discovery depends on the relative abundance of speculators. If the exchange with delay technology competes against a conventional exchange, it implements a delay only if it has sufficiently low market share.