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market design high-frequency trading batch auction markets liquidity adverse selection D43 D47 G10 G14Sujets proches
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Marlene Haas et al., « Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets », HAL-SHS : droit et gestion, ID : 10670/1.6jxach
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Résumé
Frequent batch auction (FBA) markets do not necessarily improve liquidity relative to continuous-time trading. HFTs submit quotes that become stale if the market clears before new information becomes public, and may be sniped by other privately-informed HFTs. Less frequent auctions enhance learning by allowing for more public news: liquidity improves. For infrequent enough auctions, a frequency "wall" emerges as lower adverse selection is offset by lower liquidity demand by impatient traders. Beyond this "wall," longer auction intervals do not improve liquidity anymore. However, higher HFT speed stimulates price competition between arbitrageurs, allowing for a lower spread.