Duplicated Orders, Swift Cancellations, and Fast Market Making in Fragmented Markets
利用91只股票在主要交易所和三个替代交易场所的数据，发现流动性提供者在竞争性场所发布重复限价订单，并在其中一个成交后立即取消重复订单，这有助于降低快速交易者的执行成本，但对主要交易所的执行成本有轻微负面影响。
Employing unique data from 91 stocks trading on their primary exchanges and three alternative venues, we show that liquidity suppliers post duplicate limit orders on competing trading venues and cancel the duplicated orders immediately after one of them is filled. This is consistent with liquidity suppliers engaging in crossvenue market making. This duplicated-then-canceled liquidity is predominantly used by high-frequency traders when their inventories are not excessive. It reduces execution costs of fast traders on alternative venues. It, however, has some adverse impact on execution costs on primary exchanges, but those negative effects fail to outweigh the liquidity benefits of market fragmentation. This paper was accepted by Agostino Capponi, finance. Funding: The authors thank the Agence Nationale de la Recherche [Grant ANR-15-CE33-0006] for funding the project and Centre pour la recherche économique et ses applications for granting additional research budget. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.01789 .