The effect of NYSE American’s latency delay on informed trading

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-06-13 DOI:10.1016/j.irfa.2025.104366

Jeremy Morris , Ke Xu

引用次数: 0

Abstract

Informed high-frequency traders pose a major risk to liquidity providers in financial markets due to adverse selection, which can result in market failure. To mitigate this risk, some exchanges have implemented speed bumps which delay trades. Using trade and quote (TAQ) data of 50 stocks on the NYSE American and the NASDAQ from May 2017 to August 2017, we identify the impact of a trading delay of 350 microseconds on the probability of informed trading using difference-in-differences estimation. We find a statistically significant decline in the probability of informed trading due to the implementation of the speed bump on the NYSE American stock exchange.

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纽约证券交易所美国分公司延迟交易对知情交易的影响

由于逆向选择，知情高频交易者对金融市场的流动性提供者构成了重大风险，这可能导致市场失灵。为了降低这种风险，一些交易所实施了延迟交易的减速带。利用2017年5月至2017年8月美国纽交所和纳斯达克50只股票的交易和报价（TAQ）数据，我们使用差中差估计确定了350微秒的交易延迟对知情交易概率的影响。我们发现，由于纽约证券交易所美国证券交易所实施减速带，知情交易的概率在统计上显著下降。

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

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.