Strategic Liquidity Provision in High Frequency Trading
Strategic Liquidity Provision in High Frequency Trading
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DOI：
10.2139/ssrn.2853277
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发表时间：
2020-12
期刊：
影响因子：
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通讯作者：
Takaki Hayashi;K. Nishide
中科院分区：
文献类型：
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作者：
Takaki Hayashi;K. Nishide
我们构建了一个 Kyle (1985) 型市场模型，其中存在快速交易者和慢速交易者。在导出描述为联立方程组的平衡条件后，我们将进行数值计算。一个主要发现是，在交易频率上具有优势的快速交易者充当流动性提供者，因为如果频率差异很大，他就会针对慢速交易者采取相反的立场。我们的理论结果似乎与先前研究的实证结果大体一致。
We construct a Kyle (1985)-type market model in which fast and slow traders are present. After deriving the equilibrium condition described as a simultaneous equation system, we will perform numerical calculations. A major finding is that the fast trader who has an advantage in trade frequency acts as a liquidity provider, in that he takes the opposite position against the slow trader, if the difference in frequency is significant. Our theoretical results seem generally consistent with the empirical results of previous studies.