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%T Order protection through delayed messaging %A Aldrich, Eric M. %A Friedman, Daniel %P 43 %V SP II 2017-502 %D 2017 %K IEX; continuous double auction; high-frequency trading; lab experiments; market design %~ WZB %X 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. %C DEU %C Berlin %G en %9 Arbeitspapier %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info