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.
- Extent
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Seite(n): 43
- Language
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Englisch
- Notes
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Status: Veröffentlichungsversion
- Bibliographic citation
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Discussion Papers / Wissenschaftszentrum Berlin für Sozialforschung, Forschungsschwerpunkt Markt und Entscheidung, Forschungsprofessur Market Design: Theory and Pragmatics (SP II 2017-502)
- Subject
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Wirtschaft
Volkswirtschaftslehre
- Event
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Geistige Schöpfung
- (who)
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Aldrich, Eric M.
Friedman, Daniel
- Event
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Veröffentlichung
- (who)
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Wissenschaftszentrum Berlin für Sozialforschung gGmbH
- (where)
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Deutschland, Berlin
- (when)
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2017
- Handle
- Rights
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
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21.06.2024, 4:27 PM CEST
Data provider
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Aldrich, Eric M.
- Friedman, Daniel
- Wissenschaftszentrum Berlin für Sozialforschung gGmbH
Time of origin
- 2017
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