Heterogeneity and competition in fragmented markets: fees vs speed

DOI10.1080/1350486X.2021.1960574MaRDI QIDQ5063387zbMATH OpenOpenAlexFDO

Authors José S. Penalva, Mikel Tapia

Publication date 21 March 2022

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2021.1960574

zbMATH Keywords

colocationheterogeneitylatencymarket qualitytick pilottick size

Mathematics Subject Classification ID

Financial markets (91G15)

Recommendations

• Competing on speed
• The impact of reduced pre-trade transparency regimes on market quality
• Tick size, price grids and market performance: stable matches as a model of market dynamics and equilibrium
• Does the bid-ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment
• Tick size and spreads: the case of Nasdaq's decimalization.

Cites work

• A stochastic model for order book dynamics
• Algorithmic and high-frequency trading
• Competing on speed
• Quantifying the high-frequency trading ``arms race
• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets

Cited in

(8)

• Tick size and spreads: the case of Nasdaq's decimalization.
• The impact of reduced pre-trade transparency regimes on market quality
• Does the bid-ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment
• Tick size, price grids and market performance: stable matches as a model of market dynamics and equilibrium
• Competing on speed
• Call auction, continuous trading and closing price formation
• On Bid and Ask Side-Specific Tick Sizes
• Dynamic limit order placement activities and their effects on stock market quality

This page was built for publication: Heterogeneity and competition in fragmented markets: fees vs speed

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5063387)