Trading networks and liquidity provision
交易网络与流动性供给
We study the profitability of traders in two fully electronic and highly liquid markets: the Dow and Standard & Poor׳s 500 e-mini futures markets. Using unique information that identify counterparties to a transaction, we show and seek to explain the fact that the network pattern of trades captures the relations between behavior in the market and returns. Our approach includes a simple representation of how much a shock is amplified by the network and how widely it is…