论美国股市模型:证券信息处理器有多重要?

2017 Winter Simulation Conference (WSC) Pub Date : 2017-12-03 DOI:10.1109/WSC.2017.8247865

B. Tivnan, M. Koehler, David M. Slater, J. Veneman, Brendan F. Tivnan

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引用次数: 2

摘要

科学界和大众媒体都非常关注证券信息处理器(Securities Information Processor)的速度——它是整合美国股市所有交易和报价的数据源。在这里，我们关注的不是证券信息处理器(SIP)的速度，而是它对有效的价格发现的重要性。通过对先前市场模型的扩展，我们对在美国股票市场中运行的四种不同的耦合机制进行了实验。在这四种方法中，我们发现SIP对有效价格发现的贡献最大。

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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Towards a model of the U.S. stock market: How important is the securities information processor?

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor — the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor, or SIP, we focus here on its importance to efficient, price discovery. Via extensions to a previous market model, we experiment with four different coupling mechanisms which operate across the US stock market. Of the four, we find that the SIP contributes most to efficient price discovery.

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2017 Winter Simulation Conference (WSC)

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