Queuing and inventories in limit order markets

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2025-09-01 DOI:10.1016/j.finmar.2025.100982

Corey Garriott , Vincent van Kervel , Marius Zoican

引用次数: 0

Abstract

Limit order markets use a queuing system in which limit orders must wait in line to execute. We show that the queue position of a limit order influences its adverse selection risk and inhibits inventory risk management. Trade may worsen market maker risk sharing, unlike many protocols without queuing. We uncover a crowding-out effect: An inventory shock reduces liquidity provision by market makers later in the queue. Using futures data, we confirm both low risk sharing and the crowding-out effect. These two results imply a trade-off, as the queuing sequence that optimizes risk sharing decreases quoted depth up to 8.4%.

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限购市场的排队和库存

限价订单市场使用排队系统，限价订单必须排队等待执行。我们证明了限价订单的排队位置影响其逆向选择风险并抑制库存风险管理。与许多没有排队的协议不同，交易可能会恶化做市商的风险分担。我们发现了一种挤出效应：库存冲击减少了排在后面的做市商提供的流动性。利用期货数据，我们证实了低风险分担和挤出效应。这两个结果意味着一种权衡，因为优化风险分担的排队顺序将引用深度降低了8.4%。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.