The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave networks
利用法兰克福与伦敦交易所之间的信息传输延迟及技术升级，研究发现高频交易对流动性和价格发现的影响取决于套利机会的来源：信息驱动时损害流动性但促进价格发现，流动性冲击驱动时则改善流动性并降低交易成本。
Exploiting information transmission latency between stock exchanges in Frankfurt and London, and speed-inducing technological upgrades, we show that when cross-market latency arbitrage opportunities are linked to the arrival of information, high-frequency traders' (HFTs’) activities impair liquidity and enhance price discovery by facilitating the incorporation of public information into prices. Conversely, when cross-market latency arbitrage opportunities are driven by liquidity shocks, HFTs improve liquidity and reduce trading costs, thus incentivizing information acquisition and trading with private information. These findings underscore the complex nature of the association between trading speed and market quality and reconcile mixed evidence in the extant literature.