The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth
利用2012年澳大利亚证券交易所引入托管设施的自然实验，研究发现算法交易降低了买卖价差和深度对价格波动与交易活动的敏感性，并加快了流动性从大额交易中恢复的速度。
Abstract This paper examines the impact of algorithmic trading on the resiliency of bid‐ask spreads and market depth. We use a natural experiment provided by the Australian Securities Exchange (ASX) for futures markets in 2012—the introduction of collocated facilities for FCM's. Previous research demonstrates that the change on the ASX in 2012 increased algorithmic trading and improved liquidity. We extend this study by documenting that the sensitivity of bid‐ask spreads and market depth to price volatility and trading activity declines after the introduction of co‐location. We also find that the speed of recovery of liquidity to large trades is more rapid after the introduction of colocated facilities. These results are consistent with the hypothesis that algorithmic trading reduces the time that limit orders are alive and the adjustment of quotes to new information and market volatility which in turn increases the resilience of liquidity.