延迟、流动性和价格发现

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2011-11-22 DOI:10.2139/ssrn.1247482

Ryan Riordan, Andreas Storkenmaier

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引用次数: 0

摘要

交易速度是现代证券市场的一个重要因素。对于速度对流动性和价格发现的影响，我们仍然知之甚少，这是市场质量的两个重要方面。2007年4月23日，德意志交易所对其交易系统进行了自2002年以来最重要的升级。在Xetra 8.0版本中，系统延迟从50 ms减少到10 ms。报价和有效价差都在升级后减少。流动性的增加是由于逆向选择成本的显著降低，而这仅仅部分转化为更高的流动性。我们将此解释为流动性供应商之间的竞争减少，这些供应商能够增加超过1.85亿欧元的收入。升级后报价对价格发现的贡献翻了一番，达到90%，表明价格更有效。

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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Latency, Liquidity and Price Discovery

The speed of trading is an important factor in modern security markets. We still know relatively little about the e ffect of speed on liquidity and price discovery, two important aspects of market quality. On April 23rd, 2007, Deutsche Boerse made the most important upgrade to their trading system since 2002. With the 8.0 release of Xetra, system latency was reduced from 50 ms to 10 ms. Both quoted and eff ective spreads decreases post upgrade. This increase in liquidity, is due to dramatically lower adverse selection costs that are only partially translated into higher liquidity. We interpret this as a decrease in the competition between liquidity suppliers who are able to increase their revenues by more than 185 million Euros. The contribution of quotes to price discovery doubles to 90% post upgrade, indicating that prices are more effcient.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.