Add to ORKGHigh-speed market connections improve investors' ability to search for attractive quotes in fragmented markets, raising gains from trade. They also enable fast traders to observe market information before slow traders, generating adverse selection, and thus negative externalities. When investing in fast trading technologies, institutions do not internalize these externalities. Accordingly, they overinvest in equilibrium. Completely banning fast trading is dominated by offering two types of markets: one accepting fast traders, the other banning them. However, utilitarian welfare is maximized by having i) a single market type on which fast and slow traders coexist and ii) Pigovian taxes on investment in the fast trading technology
I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Un...
In recent months, Wall Street has been whipped into a frenzy following the March 31st release of Mic...
We develop a discrete-time infinite-horizon model to investigate the role of a high fre-quency trade...
High speed market connections improve investors׳ ability to search for attractive quotes in fragment...
High-speed market connections improve investors' ability to search for attractive quotes in fragment...
We study a dynamic limit order market where agents may invest into a trading technology that grants ...
This paper derives an optimal timing strategy for a regular slow trader considering investing in a h...
This paper derives an optimal timing strategy for a regular slow trader considering investing in a h...
Two forces have reshaped global securities markets in the last decade: Exchanges operate at much fas...
This paper develops a model in which traders continuously process costly information, and may differ...
Traders differ in speed and their speed differences matter. I model strategic interactions induced w...
The first chapter shows that a key driver of stock exchanges' competition on order-processing speeds...
This paper examines, using a real options approach, the optimal time for financial market investors ...
High-frequency traders automate stock trading, placing thousands of orders over fractions of a secon...
We study performance and competition among firms engaging in high-frequency trading (HFT). We constr...
I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Un...
In recent months, Wall Street has been whipped into a frenzy following the March 31st release of Mic...
We develop a discrete-time infinite-horizon model to investigate the role of a high fre-quency trade...
High speed market connections improve investors׳ ability to search for attractive quotes in fragment...
High-speed market connections improve investors' ability to search for attractive quotes in fragment...
We study a dynamic limit order market where agents may invest into a trading technology that grants ...
This paper derives an optimal timing strategy for a regular slow trader considering investing in a h...
This paper derives an optimal timing strategy for a regular slow trader considering investing in a h...
Two forces have reshaped global securities markets in the last decade: Exchanges operate at much fas...
This paper develops a model in which traders continuously process costly information, and may differ...
Traders differ in speed and their speed differences matter. I model strategic interactions induced w...
The first chapter shows that a key driver of stock exchanges' competition on order-processing speeds...
This paper examines, using a real options approach, the optimal time for financial market investors ...
High-frequency traders automate stock trading, placing thousands of orders over fractions of a secon...
We study performance and competition among firms engaging in high-frequency trading (HFT). We constr...
I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Un...
In recent months, Wall Street has been whipped into a frenzy following the March 31st release of Mic...
We develop a discrete-time infinite-horizon model to investigate the role of a high fre-quency trade...