Competition for Order Flow with Fast and Slow Traders
研究了股票市场中计算机化交易策略如何加剧交易场所间的竞争，发现跨场所策略导致交易后大量取消限价订单，并构建模型解释这一现象，对高频交易者和监管者有参考价值。
The rise of computerized trading strategies in equity markets has spurred competition between trading venues. This paper shows that cross-venue strategies create highly interlinked markets: trades on one venue are followed by sizeable cancellations of limit orders on competing venues. These cancellations are explained in a simple model of competition between two limit order markets with fast and slow traders. Only the fast traders can access the liquidity of both venues simultaneously. Empirically, we confirm the predictions that the fraction of fast traders (1) reduces the equilibrium liquidity supply and (2) reduces the magnitude of the cancellations following a trade.