Arbeitspapier | Working paper
Order protection through delayed messaging
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.
- Umfang
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Seite(n): 43
- Sprache
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Englisch
- Anmerkungen
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Status: Veröffentlichungsversion
- Erschienen in
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Discussion Papers / Wissenschaftszentrum Berlin für Sozialforschung, Forschungsschwerpunkt Markt und Entscheidung, Forschungsprofessur Market Design: Theory and Pragmatics (SP II 2017-502)
- Thema
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Wirtschaft
Volkswirtschaftslehre
- Ereignis
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Geistige Schöpfung
- (wer)
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Aldrich, Eric M.
Friedman, Daniel
- Ereignis
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Veröffentlichung
- (wer)
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Wissenschaftszentrum Berlin für Sozialforschung gGmbH
- (wo)
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Deutschland, Berlin
- (wann)
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2017
- Handle
- Rechteinformation
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Aldrich, Eric M.
- Friedman, Daniel
- Wissenschaftszentrum Berlin für Sozialforschung gGmbH
Entstanden
- 2017
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