2017年金工研报母亲节高频论文need for speed.pdfVIP

Duisenberg school of finance - Tinbergen Ins ute Discussion Paper TI 14-097/IV//DSF78 Need for Speed? Exchange Latency and Liquidity Albert J. Menkveld Marius A. Zoican Faculty of Economics and Business Administration, VU University Amsterdam, Duisenberg School of Finance, and Tinbergen Ins ute. Tinbergen Ins ute is the graduate school and research ins ute in economics of Erasmus University Rotterdam, the University of Amsterdam and VU University Amsterdam. More TI discussion papers can be downloaded at Tinbergen Ins ute has two locations: Tinbergen Ins ute Amsterdam Gustav Mahlerplein 117 1082 MS Amsterdam The Netherlands Tel.: +31(0)20 525 1600 Tinbergen Ins ute Rotterdam Burg. Oudlaan 50 3062 PA Rotterdam The Netherlands Tel.: +31(0)10 408 8900 Fax: +31(0)10 408 9031 Duisenberg school of finance is a collaboration of the Dutch financial sector and universities, DSF research papers can be downloaded at: Duisenberg school of finance Gustav Mahlerplein 117 1082 MS Amsterdam The Netherlands Tel.: +31(0)20 525 8579 Need for Speed? Exchange Latency and Liquidity Albert J. Menkveld and Marius A. Zoican July 22, 2014 Abstract Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency “bandits,” thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model reveals that there is an additional spread-widening eect as market makers earn higher rents due to economies of scope from quote monitoring. Analysis of a NASDAQ-OMX speed upgrade provides supportive evidence. Keywords: market microstructure, trading