dc.contributor.author | Aldrich, Eric M. | de |
dc.contributor.author | Friedman, Daniel | de |
dc.date.accessioned | 2020-01-03T14:33:20Z | |
dc.date.available | 2020-01-03T14:33:20Z | |
dc.date.issued | 2017 | de |
dc.identifier.uri | https://www.ssoar.info/ssoar/handle/document/65901 | |
dc.description.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. | de |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | IEX; continuous double auction; high-frequency trading; lab experiments; market design | de |
dc.title | Order protection through delayed messaging | de |
dc.description.review | begutachtet | de |
dc.description.review | reviewed | en |
dc.source.volume | SP II 2017-502 | de |
dc.publisher.country | DEU | |
dc.publisher.city | Berlin | de |
dc.source.series | Discussion Papers / Wissenschaftszentrum Berlin für Sozialforschung, Forschungsschwerpunkt Markt und Entscheidung, Forschungsprofessur Market Design: Theory and Pragmatics | |
dc.subject.classoz | Volkswirtschaftslehre | de |
dc.subject.classoz | Political Economy | en |
dc.rights.licence | Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung | de |
dc.rights.licence | Deposit Licence - No Redistribution, No Modifications | en |
ssoar.contributor.institution | WZB | de |
internal.status | formal und inhaltlich fertig erschlossen | de |
dc.type.stock | monograph | de |
dc.type.document | Arbeitspapier | de |
dc.type.document | working paper | en |
dc.source.pageinfo | 43 | de |
internal.identifier.classoz | 1090300 | |
internal.identifier.document | 3 | |
dc.contributor.corporateeditor | Wissenschaftszentrum Berlin für Sozialforschung gGmbH | |
internal.identifier.corporateeditor | 381 | |
internal.identifier.ddc | 330 | |
dc.description.pubstatus | Veröffentlichungsversion | de |
dc.description.pubstatus | Published Version | en |
internal.identifier.licence | 3 | |
internal.identifier.pubstatus | 1 | |
internal.identifier.review | 2 | |
internal.identifier.series | 963 | |
internal.dda.reference | https://www.econstor.eu/oai/request@@oai:econstor.eu:10419/173265 | |
dc.identifier.handle | https://hdl.handle.net/10419/173265 | |
ssoar.urn.registration | false | de |