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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.854846&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Order flow segmentation, liquidity and price discovery : the role of latency delays / by Michael Brolley and David A. Cimon. |
| Titre de la série | Bank of Canada staff working paper, 1701-9397 ; 2018-16 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "April 2018." Includes bibliographical references (p. 32-34). Includes abstract in French. |
| Information sur la publication | [Ottawa] : Bank of Canada, 2018. |
| Auteur / Contributeur | Brolley, Michael. Cimon, David A. |
| Description | ii, 50 p. : col. charts. |
| Numéro de catalogue |
|
| Descripteurs | Stock markets Finance Regulation |
Demander des formats alternatifs
Pour demander une publication dans un format alternatif, remplissez le formulaire électronique des publications du gouvernement du Canada. Utilisez le champ du formulaire «question ou commentaire» pour spécifier la publication demandée.- Date de modification :