Algorithmic Trading and the Market for Liquidity
研究了2008年1月德国DAX30股票中算法交易者在流动性供给和需求中的作用，发现算法交易者占市场订单量的52%和限价订单量的64%，且比人类交易者更主动监控流动性。
Abstract We examine the role of algorithmic traders (ATs) in liquidity supply and demand in the 30 Deutscher Aktien Index stocks on the Deutsche Boerse in Jan. 2008. ATs represent 52% of market order volume and 64% of nonmarketable limit order volume. ATs more actively monitor market liquidity than human traders. ATs consume liquidity when it is cheap (i.e., when the bid-ask quotes are narrow) and supply liquidity when it is expensive. When spreads are narrow ATs are less likely to submit new orders, less likely to cancel their orders, and more likely to initiate trades. ATs react more quickly to events and even more so when spreads are wide.