Abstract
A limit order market enables an early seller to trade with a late buyer by leaving a price quote. Information arrival in the interim period creates adverse selection risk for the seller and therefore hampers trade. Entry of high-frequency traders (HFTs) might restore trade as their machines can refresh quotes quickly on (hard) information. Empirically, HFT entry reduced adverse selection by 23% and increased trade by 17%. Model calibration shows that one percentage point more of the gains from trade were realized. Finally, we show that a well-designed double auction raises this to ten percentage points.
Το σεμινάριο θα παρουσιάσει ο Δρ. Albert Menkveld (Vrije Universiteit Amsterdam) και θα διεξαχθεί την Τετάρτη 27 Μαρτίου 2024, ώρα 12:30 – 13:30 στην αίθουσα Συνεδριάσεων στο κτήριο Continental.
