Footnote:
In: Review of Financial Studies 30 (2017), 1188--1228
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 28, 2016 erstellt
Description:
Speeding up the exchange does not necessarily improve liquidity. On the one hand, more speed enables a high-frequency market maker (HFM) to update his quotes faster on incoming news. This reduces his payoff risk and thus lowers the competitive bid-ask spread. On the other hand, HFM price quotes are more likely to meet speculative high-frequency bandits, thus less likely to meet liquidity traders. This raises the spread. The net effect depends on a security's news-to-liquidity-trader ratio