Eibelshäuser, Steffen; Smetak, Fabian - 2022
We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private … information. Liquidity providers face adverse selection risk from trading with privately informed investors and from trading with …) markets and under frequent batch auctions (FBA). In the absence of informed trading, FBA dominates CLOB just as in Budish et …