Speed and learning in high-frequency auctions
Journal of Financial Markets, ISSN: 1386-4181, Vol: 54, Page: 100583
2021
- 2Citations
- 23Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Article Description
Faster trading improves liquidity in periodic call auction markets, in contrast to continuous-time markets. We build a model where high-frequency traders (HFTs) engage in duels to trade on stale quotes. More frequent periodic auctions increase the likelihood that a single HFT arrives in any given auction and subsequently acts as a monopolist on information. Higher trading speed increases the expected number of arbitrageurs participating in auctions, promoting competition between snipers and improving liquidity. We find that faster trading and longer auction intervals are substitute instruments to reduce bid-ask spreads. Relative to continuous-time trading, periodic batch auctions reduce HFT informational rents.
Bibliographic Details
http://www.sciencedirect.com/science/article/pii/S1386418120300525; http://dx.doi.org/10.1016/j.finmar.2020.100583; http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=85087017363&origin=inward; https://linkinghub.elsevier.com/retrieve/pii/S1386418120300525; https://dx.doi.org/10.1016/j.finmar.2020.100583
Elsevier BV
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