Arbeitspapier
A theoretical model of the investors exchange
Investors' Exchange LLC (IEX) is a newly approved public exchange that is designed to discourage aggressive high-frequency trading. We explain how IEX differs from traditional continuous double auction markets and present summary data on IEX transactions by trader class and or- der type. Our primary contribution is a simple analytic model of IEX as a constrained version of the continuous double auction. The model predicts that IEX will generally improve price efficiency and lower transactions cost while increasing delay costs. A subset of the model's predictions are testable in the field or in a laboratory environment.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 738
- 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
IEX
lab experiments
high-frequency trading
continuous double auction
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aldrich, Eric M.
Friedman, Daniel
- Ereignis
-
Veröffentlichung
- (wer)
-
University of California, Economics Department
- (wo)
-
Santa Cruz, CA
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Aldrich, Eric M.
- Friedman, Daniel
- University of California, Economics Department
Entstanden
- 2017
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