Liquidity Cycles and Make/Take Fees in Electronic Markets
构建了一个交易反应速度内生的模型，解释了做市/吃单定价机制，并分析了算法交易对流动性、交易量和福利的影响，揭示了流动性供需之间的相互强化效应。
ABSTRACT We develop a model in which the speed of reaction to trading opportunities is endogenous. Traders face a trade‐off between the benefit of being first to seize a profit opportunity and the cost of attention required to be first to seize this opportunity. The model provides an explanation for maker/taker pricing, and has implications for the effects of algorithmic trading on liquidity, volume, and welfare. Liquidity suppliers’ and liquidity demanders’ trading intensities reinforce each other, highlighting a new form of liquidity externalities. Data on durations between trades and quotes could be used to identify these externalities.