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?: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. (xsd:string)
?:contributor
?:dateModified
  • 2017 (xsd:gyear)
?:datePublished
  • 2017 (xsd:gyear)
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  • true (xsd:boolean)
is ?:hasPart of
?:inLanguage
  • en (xsd:string)
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?:name
  • Order protection through delayed messaging (xsd:string)
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?:publicationType
  • Arbeitspapier (xsd:string)
?:sourceInfo
  • GESIS-SSOAR (xsd:string)
rdf:type
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?:volumeNumber
  • SP II 2017-502 (xsd:string)