کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
959937 | 929390 | 2014 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A dynamic limit order market with fast and slow traders
ترجمه فارسی عنوان
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
چکیده انگلیسی
This paper considers the role of high-frequency trading in a dynamic limit order market. Fast traders׳ ability to revise their quotes quickly after news arrivals helps to reduce the inefficiency that is rooted in the risk of being picked off, which increases trade. However, their presence induces slow traders to strategically submit limit orders with a lower execution probability, thereby reducing trade. Because speed is a source of market power, it enables fast traders to extract rents from other market participants and triggers a costly arms race that reduces social welfare. The model generates a number of testable implications concerning the effects of high-frequency trading in limit order markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 113, Issue 1, July 2014, Pages 156–169
Journal: Journal of Financial Economics - Volume 113, Issue 1, July 2014, Pages 156–169
نویسندگان
Peter Hoffmann,