High-Frequency Quoting: Short-Term Volatility in Bids and Offers
研究发现美国股票市场在亚秒级时间尺度上买卖报价的波动性高于长期基本面隐含的水平，提出交易者的随机延迟与报价波动相互作用产生执行价格风险和相对延迟成本，并认为这种波动更可能源于类似产品市场Edgeworth循环的反复削价行为。
At subsecond horizons, bids and offers in U.S. equity markets are more volatile than what would be implied by long-term fundamentals. To assess costs and consequences, this paper suggests that traders’ random delays (latencies) interact with quote volatility to generate execution price risk and relative latency costs. Analysis of the behavior of quote setters suggests that this volatility is more likely to arise from recurrent cycles of undercutting similar to the Edgeworth cycles found in product markets rather than mixed strategies of limit-order placement.