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| 02058nam 2200325za 4500 |
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| 001 | 9.854846 |
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| 003 | CaOODSP |
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| 005 | 20221107155147 |
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| 007 | cr ||||||||||| |
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| 008 | 180409s2018 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2018-16E-PDF |
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| 100 | 1 |aBrolley, Michael. |
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| 245 | 10|aOrder flow segmentation, liquidity and price discovery |h[electronic resource] : |bthe role of latency delays / |cby Michael Brolley and David A. Cimon. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2018. |
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| 300 | |aii, 50 p. : |bcol. charts. |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2018-16 |
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| 500 | |a"April 2018." |
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| 504 | |aIncludes bibliographical references (p. 32-34). |
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| 520 | 3 |a“Latency delays—known as “speed bumps”—are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote “quote fading” by market makers. We construct a model of informed trading in a fragmented market, where one market operates a conventional order book and the other imposes a latency delay on market orders. We show that informed investors migrate to the conventional exchange, widening the quoted spread, while the quoted spread narrows at the delayed exchange. The overall market quality impact depends on the relative concentration of speculators who may become informed. If speculators are few relative to liquidity traders, total welfare falls; with relatively more speculators, total welfare rises"--Abstract, p. ii. |
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| 546 | |aIncludes abstract in French. |
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| 692 | 07|2gccst|aStock markets |
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| 692 | 07|2gccst|aFinance |
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| 692 | 07|2gccst|aRegulation |
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| 700 | 1 |aCimon, David A. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2018-16.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s895 KB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-16-eng.pdf |
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