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摘要翻译：
随着自动化系统在很大程度上承担了提供市场流动性的角色，传统的做市商正在失去其重要性。我们更新了Glosten和Milgrom(1985)的模型来分析这个新世界：我们增加了多个证券，并引入了一个自动做市商，它利用证券之间的关系来为订单流定价。这种新的自动化参与者处理大多数订单，设定更有效的价格，增加知情交易者的交易成本，降低不知情交易者的交易成本。这些结果可以解释最近高频交易在美国市场占据主导地位以及美国股票交易量的增加和交易成本的降低。
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英文标题：
《Automated Liquidity Provision and the Demise of Traditional Market
Making》
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作者：
Austin Gerig and David Michayluk
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最新提交年份：
2010
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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：
Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyze this new world: we add multiple securities and introduce an automated market maker who uses the relationships between securities to price order flow. This new automated participant transacts the majority of orders, sets prices that are more efficient, and increases informed and decreases uninformed traders' transaction costs. These results can explain the recent dominance of high frequency trading in US markets and the corresponding increase in trading volume and decrease in transaction costs for US stocks.
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PDF链接：
https://arxiv.org/pdf/1007.2352
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