| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15848 |
| DP15848 Intermediation and Price Volatility | |
| Thomas Gehrig; Klaus Ritzberger | |
| 发表日期 | 2021-02-25 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | This paper analyses the role of intermediaries in providing immediacy in fast markets. Fast markets are modelled as contests with the possibility of multiple winners where the probability of casting the best quote depends on prior technology investments. Depending on the market design, equilibrium pricing by intermediaries involves a trade-off, between monopolistic price distortion and excess volatility. Since equilibrium at the pricing stage generates an externality, investments into faster trading technologies are necessarily asymmetric in equilibrium, akin to markets with vertical product differentiation. Further, equilibrium is not necessarily effcient, since it is possible that a high-cost intermediary ends up investing excessively and thus trades more frequently than low-cost rivals. |
| 主题 | Financial Economics ; Industrial Organization |
| 关键词 | High-frequency trading Intermediation Market design Price volatility |
| URL | https://cepr.org/publications/dp15848 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544842 |
| 推荐引用方式 GB/T 7714 | Thomas Gehrig,Klaus Ritzberger. DP15848 Intermediation and Price Volatility. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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