全球智库信息集成服务系统(G2TT): Who Provides Liquidity, and When?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w25972
来源ID	Working Paper 25972
	Who Provides Liquidity, and When?
	Sida Li; Xin Wang; Mao Ye
发表日期	2019-06-24
出版年	2019
语种	英语
摘要	We model competition for liquidity provision between high-frequency traders (HFTs) and slower execution algorithms designed to minimize transaction costs for buy-side institutions (B-Algos). Under continuous pricing, B-Algos dominate liquidity provision by using aggressive limit orders to stimulate HFTs’ market orders. Under discrete pricing, HFTs dominate liquidity provision if the bid–ask spread is binding at one tick. If the tick size is not binding, B-Algos choose between stimulating HFTs and providing liquidity to other non-HFTs. Flash crashes arise under certain parameter values. Transaction costs can be negatively correlated with the bid–ask spread when all traders can provide liquidity.
主题	Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w25972
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/583646
推荐引用方式 GB/T 7714	Sida Li,Xin Wang,Mao Ye. Who Provides Liquidity, and When?. 2019.