This paper examines the impact of algorithmic trading on the resiliency of bid-ask spreads and market depth. We use a natural experiment provided by the Australian Securities Exchange (ASX) for futures markets in 2012—the introduction of collocated facilities for FCM's. Previous research demonstrates that the change on the ASX in 2012 increased algorithmic trading and improved liquidity. We extend this study by documenting that the sensitivity of bid-ask spreads and market depth to price volatility and trading activity declines after the introduction of co-location. We also find that the speed of recovery of liquidity to large trades is more rapid after the introduction of colocated facilities. These results are consistent with the hypothesis that algorithmic trading reduces the time that limit orders are alive and the adjustment of quotes to new information and market volatility which in turn increases the resilience of liquidity.

中文翻译：

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算法交易对期货市场流动性的影响：对点差和深度弹性的新见解

本文研究了算法交易对买卖价差和市场深度弹性的影响。我们使用澳大利亚证券交易所 (ASX) 在 2012 年为期货市场提供的自然实验——为 FCM 引入并置设施。先前的研究表明，2012 年 ASX 的变化增加了算法交易并提高了流动性。我们通过记录买卖价差和市场深度对价格波动和交易活动的敏感性在引入托管后下降来扩展这项研究。我们还发现，在引入同地设施后，大额交易的流动性恢复速度更快。