High‐Frequency Traders and Market Structure
研究了高频交易者进入市场与订单流碎片化之间的关系，指出新市场通过低费用和高速度吸引高频交易者，而高频交易者通过竞争性报价影响市场质量，可能带来逆向选择、技术军备竞赛或高风险交易策略。
Abstract The arrival of high‐frequency traders (HFTs) coincided with the entry of new markets and, subsequently, strong fragmentation of the order flow. These trends might be related as new markets serve HFTs who seek low fees and high speed. New markets only thrive on competitive price quotes that well‐connected HFTs can deliver as they can offload any nonzero position in any market they are connected to. HFTs may benefit or hurt market quality through adverse selection on price quotes, a technology arms race, or high‐risk trading strategies.