| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22551 |
| 来源ID | Working Paper 22551 |
| How Rigged Are Stock Markets?: Evidence From Microsecond Timestamps | |
| Robert P. Bartlett, III; Justin McCrary | |
| 发表日期 | 2016-08-22 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We use new timestamp data from the two Securities Information Processors (SIPs) to examine SIP reporting latencies for quote and trade reports. Reporting latencies average 1.13 milliseconds for quotes and 22.84 milliseconds for trades. Despite these latencies, liquidity-taking orders gain on average $0.0002 per share when priced at the SIP-reported national best bid or offer (NBBO) rather than the NBBO calculated using exchanges’ direct data feeds. Trading surrounding SIP-priced trades shows little evidence that fast traders initiate these liquidity-taking orders to pick-off stale quotes. These findings contradict claims that fast traders systematically exploit traders who transact at the SIP NBBO. |
| 主题 | Financial Economics ; Financial Markets ; Financial Institutions ; Other ; Law and Economics |
| URL | https://www.nber.org/papers/w22551 |
| 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/580225 |
| 推荐引用方式 GB/T 7714 | Robert P. Bartlett, III,Justin McCrary. How Rigged Are Stock Markets?: Evidence From Microsecond Timestamps. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22551.pdf（3277KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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