Trading in Fragmented Markets
研究了交易所竞争导致市场碎片化对交易费用的影响，发现竞争降低费用但套利机会加剧逆向选择，以澳大利亚证券数据估计表明碎片化成本超过收益，垄断价差比双寡头低23%。
Abstract We study fragmentation of equity trading using a model of imperfect competition among exchanges. In the model, increased competition drives down trading fees. However, additional arbitrage opportunities arise in fragmented markets, intensifying adverse selection. Due to these opposing forces, the effects of fragmentation are context dependent. To empirically investigate the ambiguity in a single context, we estimate key parameters of the model with order-level data for an Australian security. According to the estimates, the benefits of increased competition are outweighed by the costs of multi-venue arbitrage. Compared with the prevailing duopoly, we predict the counterfactual monopoly spread to be 23% lower.