원문정보
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목차
Abstract.
1. Introduction
2. Market Structure: Overview of Technical Details
3. Data
3.1. Sources
3.2. Measuring O-A Latencies and FIFO Ratios
3.3. Determining Speed Races and Excess Messaging by Way of Rapid Order Cancellations
3.4. Summary Statistics
4. Empirical Results
4.1. Order to Accept (O-A) Latency and FIFO Ratio over Time
4.2. Implications for Market Quality: Excess Messaging and Rapid Order Cancellations
4.3. Implications for Market Quality: Unabsorbed Order Imbalance at the Close
5. Discussion and Conclusion
References
1. Introduction
2. Market Structure: Overview of Technical Details
3. Data
3.1. Sources
3.2. Measuring O-A Latencies and FIFO Ratios
3.3. Determining Speed Races and Excess Messaging by Way of Rapid Order Cancellations
3.4. Summary Statistics
4. Empirical Results
4.1. Order to Accept (O-A) Latency and FIFO Ratio over Time
4.2. Implications for Market Quality: Excess Messaging and Rapid Order Cancellations
4.3. Implications for Market Quality: Unabsorbed Order Imbalance at the Close
5. Discussion and Conclusion
References
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저자정보
참고문헌
자료제공 : 네이버학술정보