Queuing and inventories in limit order markets
研究了限价订单市场中订单排队位置如何影响逆向选择风险和库存风险管理，发现排队会恶化做市商的风险分担，并产生挤出效应，即库存冲击减少后续排队者的流动性供给。基于加拿大期货数据验证了低风险分担和挤出效应，并指出优化风险分担会使报价深度下降最多8.4%。
Limit order markets use a queuing system in which limit orders must wait in line to execute. We show that the queue position of a limit order influences its adverse selection risk and inhibits inventory risk management. Trade may worsen market maker risk sharing, unlike many protocols without queuing. We uncover a crowding-out effect: An inventory shock reduces liquidity provision by market makers later in the queue. Using futures data, we confirm both low risk sharing and the crowding-out effect. These two results imply a trade-off, as the queuing sequence that optimizes risk sharing decreases quoted depth up to 8.4%. • Queue position affects adverse-selection risk and inventory management. • Market-maker risk sharing may worsen due to queuing. • Inventory shocks reduce liquidity provision later in the queue. • Canadian futures data confirm low risk sharing and crowding-out effects. • Optimizing risk sharing lowers quoted depth by up to 8.4%.