Need for Speed? Exchange Latency and Liquidity
研究交易所速度对流动性的双重影响：速度加快虽能降低做市商风险从而缩小买卖价差，但也吸引更多投机者，减少与流动性交易者的成交，从而扩大价差。净效果取决于证券的新闻与流动性交易者比例。
A faster exchange does not necessarily improve liquidity. On the one hand, speed enables a high-frequency market maker (HFM) to update quotes faster on incoming news. This reduces payoff risk and thus lowers the competitive bid-ask spread. On the other hand, HFM price quotes are more likely to meet speculative high-frequency bandits, and thus are less likely to meet liquidity traders. This raises the spread. The net effect of exchange speed depends on a security's news-to-liquidity-trader ratio.