Independent replication shows that market fragmentation decreases execution times in all cases and increases trader welfare in most cases under an alternative greedy strategy for ZI traders, reversing some original qualitative takeaways.
The high-frequency trading arms race: Frequent batch auctions as a market design response.The Quarterly Journal of Economics, 130(4):1547– 1621
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Testing replication for an agent-based model of market fragmentation and latency arbitrage
Independent replication shows that market fragmentation decreases execution times in all cases and increases trader welfare in most cases under an alternative greedy strategy for ZI traders, reversing some original qualitative takeaways.