Preprint
Oct 2026
How Much Screening Buys a Second? Speed, Selection, and the Maker's Spread
We study the spread a liquidity provider needs to break even against counterparties that can exploit a stale quote, and we place two defenses on a single scale: repricing sooner and screening informed flow. A break-even condition pins down the exact screening rate at which a slower maker matches a faster unscreened ven...
Aleksei Adadurov, Эдуард Станиславович Айрапетян, Anton Chtepine et al.
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