Order flow segmentation, liquidity and price discovery : the role of latency delays / by Michael Brolley and David A. Cimon.: FB3-5/2018-16E-PDF
“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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.854846&sl=0
| Department/Agency |
|
|---|---|
| Title | Order flow segmentation, liquidity and price discovery : the role of latency delays / by Michael Brolley and David A. Cimon. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Note(s) |
|
| Publishing information |
|
| Author / Contributor |
|
| Description | ii, 50 p. : col. charts. |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: