Order protection through delayed messaging

Abstract: 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

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• Extent: Online-Ressource, 43 S.
• Language: Englisch
• Notes: Veröffentlichungsversion ; begutachtet

References and Relationships

• Bibliographic citation: Discussion Papers / Wissenschaftszentrum Berlin für Sozialforschung, Forschungsschwerpunkt Markt und Entscheidung, Forschungsprofessur Market Design: Theory and Pragmatics ; Bd. SP II 2017-502

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Veröffentlichung
• (where): Mannheim
• (who): SSOAR, GESIS – Leibniz-Institut für Sozialwissenschaften e.V.
• (when): 2017
• Event: Veröffentlichung
• (where): Berlin
• (who): Wissenschaftszentrum Berlin für Sozialforschung gGmbH
• (when): 2017
• Creator: Aldrich, Eric M. ; Friedman, Daniel
• Contributor: Wissenschaftszentrum Berlin für Sozialforschung gGmbH

Further information

• URN: urn:nbn:de:101:1-2021101108493522624847
• Rights: Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Last update: 15.08.2025, 7:34 AM CEST