Trading Fast and Slow: Colocation and Liquidity
利用纳斯达克斯德哥尔摩交易所可选的主机托管升级，研究交易速度如何影响市场流动性，发现整体流动性改善，升级者主要是做市商，他们利用速度优势降低逆向选择风险并放松库存约束。
We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly by participants who engage in market making. Those that upgrade use their enhanced speed to reduce their exposure to adverse selection and to relax their inventory constraints. In particular, the upgraded trading entities remain competitive at the best bid and offer even when their inventories are in their top decile. Our results suggest that increasing the speed of market-making participants benefits market liquidity.