Speed competition and strategic trading

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2025-06-01 DOI:10.1016/j.finmar.2025.100972

Xue-Zhong He , Junqing Kang

引用次数: 0

Abstract

Speed competition incentivizes fast traders to trade earlier and temporally fragments the price discovery process. Large traders internalize their price impact and screen trading aggressiveness to resolve the pre-trading uncertainty proportional to the number of traders. Therefore, price discovery in the late period depends on the number of slow traders and the amount of fundamental uncertainty resolved by fast traders. A concentration of fast or slow traders harms price discovery in the late period, generating hump-shape overall price informativeness to speed competition. With fast information diffusion, speed competition harms the overall price informativeness, unless fast traders are high-frequency traders.

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加速竞争和战略贸易

速度竞争激励快速交易者提前交易，并暂时打断价格发现过程。大型交易者将其价格影响内化，并筛选交易积极性，以解决交易前与交易者数量成比例的不确定性。因此，后期的价格发现取决于慢速交易者的数量和快速交易者解决的基本不确定性的数量。快速或慢速交易者的集中会损害后期的价格发现，产生驼峰状的整体价格信息，从而加速竞争。随着信息的快速扩散，速度竞争损害了整体的价格信息，除非快速交易者是高频交易者。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.