Intermediation and price volatility
研究了快速市场中中介机构提供即时性的作用，发现均衡定价涉及垄断扭曲与过度波动之间的权衡，且投资不对称可能导致效率损失。
This paper analyzes the role of intermediaries in providing immediacy in fast markets. Fast markets are modelled as contests with the possibility of multiple winners where the probability of casting the best quote depends on prior technology investments. Depending on the market design, equilibrium pricing by intermediaries involves a trade-off, between monopolistic price distortion and excess volatility. Since equilibrium at the pricing stage generates an externality, investments into faster trading technologies are necessarily asymmetric in equilibrium, akin to markets with vertical product differentiation. Further, equilibrium is not necessarily efficient, since it is possible that a high-cost intermediary ends up investing excessively and thus trades more frequently than low-cost rivals.