The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets
研究了高频报价对欧洲美元期货执行风险的影响，发现其效果是非线性的，达到一定临界点后效应消失。
Abstract This paper intends to characterize the effect of high‐frequency quoting (HFQ) on the execution risk of Eurodollar futures. We construct a unique data set to capture the quoting and trading activities within the limit order book, which allows us to classify the realised fraction of HFQ activity within the market. We then estimate the marginal effect of the HFQ fraction on the execution risk through a novel semi‐parametric regression. The results suggest that the effect of HFQ on market quality is nonlinear with critical saturation levels. The HFQ effects on market quality seem to disappear once certain critical points are reached.