英文标题：
《Latency and liquidity provision in a limit order book》
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作者：
Julius Bonart and Martin Gould
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最新提交年份：
2016
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英文摘要：
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of distinct phases across which the net flow of orders differs considerably. We note some of our results are consist with the widely reported phenomenon of stimulated refill, but that others are not. We therefore propose alternative mechanical and strategic motivations for the behaviour that we observe. Based on our findings, we argue that strategic liquidity providers consider both adverse selection and expected waiting costs when deciding how to act.
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中文摘要：
我们使用纳斯达克最近的高质量数据集，对市场订单到达前后限额订单簿（LOB）中的订单流进行了实证分析。对于我们研究的每一种股票，我们确定了一系列不同的阶段，在这些阶段，订单的净流量有很大不同。我们注意到，我们的一些结果与广泛报道的刺激再灌注现象一致，但其他结果则不一致。因此，我们为我们观察到的行为提出了其他机械和战略动机。基于我们的研究结果，我们认为，战略流动性提供者在决定如何行动时，既考虑了逆向选择，也考虑了预期等待成本。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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