Order protection through delayed messaging

Arbeitspapier

Several financial exchanges have recently introduced messaging delays (e.g., a 350 microsecond delay at IEX and NYSE American) intended to protect ordinary investors from high-frequency traders who exploit stale orders. We propose an equilibrium model of this exchange design as a modification of the standard continuous double auction market format. The model predicts that a messaging delay will generally improve price efficiency and lower transactions cost but will increase queuing costs. Some of the predictions are testable in the field or in a laboratory environment.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: WZB Discussion Paper ; No. SP II 2017-502

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Design of Experiments: Laboratory, Individual ; Auctions ; Market Design ; General Equilibrium and Disequilibrium: Financial Markets ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: market design ; high-frequency trading ; continuous double auction ; IEX ; lab experiments

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Aldrich, Eric M. ; Friedman, Daniel
• Ereignis: Veröffentlichung
• (wer): Wissenschaftszentrum Berlin für Sozialforschung (WZB)
• (wo): Berlin
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/173265
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ