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摘要翻译：
我们考虑一个基于限价指令书的单一证券市场和两个投资者，交易执行速度不同。如果速度快的投资者可以领先于速度慢的投资者，我们证明这允许速度快的交易者获得无风险利润，但这些利润是无法规模的。我们推导了当快速交易者只有慢交易者行为的分布知识时，在对可能的先验分布几乎没有限制的情况下，快速交易者的最优行为。我们还考虑了较慢的交易者对市场上快速交易者的反应，以及引入“托宾税”对金融交易的影响。我们表明，这样的税收可以导致消除前运行战略的利润。因此，托宾税既能提高市场效率，又能吸引交易者进入市场。
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英文标题：
《A limit order book model for latency arbitrage》
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作者：
Samuel N. Cohen and Lukasz Szpruch
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最新提交年份：
2011
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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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英文摘要：
We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can front-run the slower investor, we show that this allows the fast trader to obtain risk free profits, but that these profits cannot be scaled. We derive the fast trader's optimal behaviour when she has only distributional knowledge of the slow trader's actions, with few restrictions on the possible prior distributions. We also consider the slower trader's response to the presence of a fast trader in a market, and the effects of the introduction of a `Tobin tax' on financial transactions. We show that such a tax can lead to the elimination of profits from front-running strategies. Consequently, a Tobin tax can both increase market efficiency and attract traders to a market.
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PDF链接：
https://arxiv.org/pdf/1110.4811
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