Siphoned apart: A portfolio perspective on order flow segmentation
研究了碎片化市场中的流动性供给，通过投资组合视角解释做市商为何将零售订单分流到场外，并分析了禁止分割对福利和交易成本的影响。
We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.