The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions
利用欧洲对暗交易的最新监管限制，研究了亚秒级频繁批量/定期拍卖对市场质量的影响，发现其导致流动性显著下降，但降低了逆向选择成本，有潜力缓解延迟套利和技术军备竞赛。
Recent European regulatory restrictions on dark trading induced an increase in sub-second frequent batch/periodic auctions (PA). We exploit this development to investigate the effects of PA on market quality. The restrictions are linked to an observable increase in PA and an economically meaningful loss of liquidity. PA is also associated with a significant decline in liquidity and informational efficiency. However, consistent with Budish et al. (2015 – The Quarterly Journal of Economics, 130, 1547), increased execution via PA leads to a decline in adverse selection costs, which underscores its potential as a trading mechanism for addressing latency arbitrage and the technological arms race.