| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20588 |
| 来源ID | Working Paper 20588 |
| Welfare and Optimal Trading Frequency in Dynamic Double Auctions | |
| Songzi Du; Haoxiang Zhu | |
| 发表日期 | 2014-10-20 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This paper studies the welfare consequence of increasing trading speed in financial markets. We build and solve a dynamic trading model, in which traders receive private information of asset value over time and trade strategically with demand schedules in a sequence of double auctions. A stationary linear equilibrium and its efficiency properties are characterized explicitly in closed form. Infrequent trading (few double auctions per unit of time) leads to a larger market depth in each trading period, but frequent trading allows more immediate asset re-allocation after new information arrives. Under natural conditions, the socially optimal trading frequency coincides with information arrival frequency for scheduled information releases, but can (far) exceed information arrival frequency for stochastic information arrivals. If traders have heterogeneous trading speeds, fast traders prefer the highest feasible trading frequency, whereas slow traders tend to prefer a strictly lower frequency. |
| 主题 | Microeconomics ; Market Structure and Distribution ; Economics of Information ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w20588 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578262 |
| 推荐引用方式 GB/T 7714 | Songzi Du,Haoxiang Zhu. Welfare and Optimal Trading Frequency in Dynamic Double Auctions. 2014. |
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