00000nam 2200000za 4500 9.854846 CaOODSP 20221107155147 cr ||||||||||| 180409s2018 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2018-16E-PDF Brolley, Michael. Order flow segmentation, liquidity and price discovery [electronic resource] : the role of latency delays / by Michael Brolley and David A. Cimon. [Ottawa] : Bank of Canada, 2018. ii, 50 p. : col. charts. Bank of Canada staff working paper, 1701-9397 ; 2018-16 "April 2018." Includes bibliographical references (p. 32-34). “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. Includes abstract in French. gccst Stock markets gccst Finance gccst Regulation Cimon, David A. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2018-16. (CaOODSP)9.806221 PDF 895 KB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-16-eng.pdf