We construct a Kyle (1985)-type market model in which fast and slow traders are present. We perform numerical calculations after deriving the equilibrium condition, described as a simultaneous equation system. A major finding is that the fast trader, who has an advantage in trade frequency, acts as a liquidity provider, taking the opposite position against the slow trader if the difference in frequency is significant. Our theoretical results appear to be consistent with the empirical results of previous studies.

中文翻译：

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高频交易中的战略流动性供应

我们构建了一个 Kyle (1985) 型市场模型，其中存在快速交易者和慢速交易者。我们在导出平衡条件后进行数值计算，将其描述为联立方程组。一个主要发现是，在交易频率上具有优势的快速交易者充当流动性提供者，如果频率差异显着，则对慢速交易者采取相反的立场。我们的理论结果似乎与先前研究的实证结果一致。