Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs
Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs
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每个云都有一线希望：快速交易、微波连接和交易成本
DOI：
10.2139/ssrn.2848562
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Konstantin Sokolov
中科院分区：
文献类型：
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作者：
Andriy Shkilko;Konstantin Sokolov
在现代市场中，贸易公司为了获得相对于竞争对手的速度优势而慷慨花钱。这种竞争导致的市场以速度差异为特征，即一些交易者比其他交易者快。这样的市场是最优的吗？为了回答这个问题，我们研究了一系列与天气有关的外生事件，这些事件通过破坏最快交易者的微波网络，暂时消除了他们的速度优势。在这些事件中，逆向选择下降，同时流动性改善，波动性降低。流动性的改善大于逆向选择的下降，这与潜在流动性的出现和流动性供应商之间竞争的加强是一致的。结果在一项事件研究中得到了证实，其中一家技术提供商采用的新业务模式减少了交易者之间的速度差异，从而改善了流动性。
In modern markets, trading firms spend generously to gain a speed advantage over their rivals. The marketplace that results from this rivalry is characterized by speed differentials, whereby some traders are faster than others. Is such a marketplace optimal? To answer this question, we study a series of exogenous weather-related episodes that temporarily remove speed advantages of the fastest traders by disrupting their microwave networks. During these episodes, adverse selection declines accompanied by improved liquidity and reduced volatility. Liquidity improvement is larger than the decline in adverse selection consistent with the emergence of latent liquidity and enhanced competition among liquidity suppliers. The results are confirmed in an event-study setting, whereby a new business model adopted by one of the technology providers reduces speed differentials among traders, resulting in liquidity improvements.