Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers
研究证券市场中隐藏与显示流动性订单对市场质量的影响，发现显示订单会降低知情流动性提供者的信息租金，导致交易成本上升、价差扩大、中报价信息效率下降，但某些看似偏向知情者的市场创新可能通过加剧知情者竞争来提升市场质量。
We examine the impact on the quality of a securities market of hiding versus displaying orders that provide liquidity. Display expropriates informational rents from informed agents who trade as liquidity providers. The informed then exit liquidity provision in favor of demanding liquidity where they trade less aggressively. Trading costs to uninformed liquidity demanders are higher, bid-ask spreads are wider, and midquotes are less informationally efficient when orders that provide liquidity are displayed. Our analysis suggests that market innovations, which might seem to favor the informed over the uninformed, can enhance market quality by intensifying competition among the informed. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.