英文标题：
《Foreign Exchange Markets with Last Look》
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作者：
Alvaro Cartea, Sebastian Jaimungal, Jamie Walton
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最新提交年份：
2018
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英文摘要：
We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs (LAs) are recovered from other traders in the FX market. These losses are reduced if the broker can reject, ex-post, loss-making trades by enforcing the Last Look option which is a feature of some trading venues in FX markets. For a given rejection threshold the risk-neutral broker quotes a spread to the market so that her expected profits are zero. When there is only one venue, we find that the Last Look option reduces quoted spreads. If there are two venues we show that the market reaches an equilibrium where traders have no incentive to migrate. The equilibrium can be reached with both venues coexisting, or with only one venue surviving. Moreover, when one venue enforces Last Look and the other one does not, counterintuitively, it may be the case that the Last Look venue quotes larger spreads.
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中文摘要：
我们检查了外汇（FX）现货价差，有无最后一次查看交易。我们假设经纪人是风险中性的，他们报价利差，以便从外汇市场的其他交易员那里收回潜在套利者（LAs）的损失。如果经纪人可以通过强制执行最后一看期权（这是外汇市场某些交易场所的一个特点）来拒绝事后亏损交易，那么这些损失就会减少。对于给定的拒绝阈值，风险中性经纪人向市场报价价差，使其预期利润为零。当只有一个地点时，我们发现最后一次查看选项会减少报价价差。如果有两种情况，我们可以证明市场达到了一种均衡，在这种均衡中，交易者没有迁移的动机。在两个场馆共存或只有一个场馆幸存的情况下，可以达到均衡。此外，当一个场馆强制执行“最后一看”而另一个场馆不强制执行“最后一看”时，可能会出现“最后一看”场馆引用更大价差的情况。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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