论文标题
订单路线和市场质量：谁能从内部化中受益？
Order routing and market quality: Who benefits from internalisation?
论文作者
论文摘要
我们分析了两种流动性规定模型，以确定零售商人对可销售订单路线的偏爱。订单内部化是由以bertrand方式竞争零售订单流量的做市商模型来捕获的。另一方面，价格提高竞争性流动性提供商是开放交流模型的特征。我们表明，当流动性提供者避开风险时，所有零售商人都首选可销售订单向批发商的订单的路由：知情，不信息和嘈杂。流动性提供者不愿承担风险的不愿导致战略交易者（无论是否通知）吸收库存中的大量冲击。这导致平均恢复库存，价格逆转和较低的市场深度。当流动性提供者风险中立时，这两种模型的平衡都与Kyle（1985）一致。我们还确定了一个通用参数，该参数允许比较市场流动性，各个市场的信息的利润和价值。
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion. On the other hand, the price-taking competitive liquidity providers characterize the open exchange model. We show that, when liquidity providers are risk averse, routing of the marketable orders to the wholesalers is preferred by all retail traders: informed, uninformed and noisy. The unwillingness of liquidity providers to bear risk causes the strategic trader (informed or not) to absorb large shocks in their inventories. This results in mean reverting inventories, price reversal, and lower market depth. The equilibria in both models coincide with Kyle (1985) when liquidity providers are risk neutral. We also identify a universal parameter that allows comparison of market liquidity, profit and value of information across different markets.
