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hal.structure.identifier
dc.contributor.authorMenkveld, Albert*
hal.structure.identifier
dc.contributor.authorZoican, Marius Andrei*
dc.date.accessioned2017-04-04T08:59:23Z
dc.date.available2017-04-04T08:59:23Z
dc.date.issued2017
dc.identifier.issn0893-9454
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16481
dc.language.isoenen
dc.subjectexchange latency, high frequency trading, microstructure
dc.subject.ddc658en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G12en
dc.titleNeed for Speed? Exchange Latency and Liquidity
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherVU University Amsterdam
dc.description.abstractenA faster exchange does not necessarily improve liquidity. On the one hand, speed enables a high-frequency market maker (HFM) to update quotes faster on incoming news. This reduces payoff risk and thus lowers the competitive bid-ask spread. On the other hand, HFM price quotes are more likely to meet speculative high-frequency bandits, and thus are less likely to meet liquidity traders. This raises the spread. The net effect of exchange speed depends on a security’s news-to-liquidity-trader ratio.
dc.relation.isversionofjnlnameThe Review of Financial Studies
dc.relation.isversionofjnlvol30
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages1188-1228
dc.relation.isversionofdoi10.1093/rfs/hhx006
dc.relation.isversionofjnlpublisherOxford University Press
dc.subject.ddclabelGestion des entreprisesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-04-13T09:30:18Z
hal.identifierhal-01501352*
hal.version1*
hal.update.actionupdateFiles*
hal.update.actionupdateMetadata*
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