Who Supplies Liquidity, How and When?
Who Supplies Liquidity, How and When?
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谁提供流动性、如何以及何时提供？
DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
Sophie Moinas
中科院分区：
文献类型：
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作者：
B. Biais;F. Declerck;Sophie Moinas
谁在现代电子限价盘市场提供流动性？虽然代理交易可能受到客户和交易商之间利益冲突和信息不对称的限制，但自营交易商可能受到的限制较少，因此更有能力承担库存风险。此外，虽然慢交易者的限价单可能面临严重的逆向选择，但快速交易技术可以提高交易者监控市场的能力，避免被淘汰。为了阐明这些观点，我们依赖于Euronext和法国金融市场监管机构AMF的独特数据，使我们能够观察交易员与市场的连通性，以及他们是否是自营交易员。我们发现，自营交易者，无论他们是快还是慢，都通过反向可交易订单提供流动性，从而帮助市场吸收冲击，即使在危机期间，他们也会在这样做的同时赚取利润。此外，快速交易者通过在账簿中留下限价订单来提供流动性。然而，只有自营交易者才能做到这一点而不造成损失。这表明，技术不足以克服逆向选择;还需要监测激励措施。
Who provides liquidity in modern, electronic limit order book, markets? While agency trading can be constrained by conflicts of interest and information asymmetry between customers and traders, prop traders are likely to be less constrained and thus better positioned to carry inventory risk. Moreover, while slow traders' limit orders may be exposed to severe adverse selection, fast trading technology can improve traders' ability to monitor the market and avoid being picked off. To shed light on these points, we rely on unique data from Euronext and the AMF, the French financial markets regulator, enabling us to observe the connectivity of traders to the market, and whether they are proprietary traders. We find that proprietary traders, be they fast or slow, provide liquidity with contrarian marketable orders, thus helping the market absorb shocks, even during a crisis, and they earn profits while doing so. Moreover, fast traders provide liquidity by leaving limit orders in the book. Yet, only prop traders can do so without making losses. This suggests that technology is not enough to overcome adverse selection; monitoring incentives are also needed.