Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls

Chen Yao, Mao Ye · 2018 · The Review of Financial Studies

IntermediateHFTEmpiricalFree to read

With a binding tick size, speed buys queue priority, so HFTs provide more liquidity in large-tick stocks. Key for tick-constrained Indian names.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L3/MBO (order-level) Set what data you have
Themes: HFT & market design Market making
Assets: Equities
Market: US

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HFT, speed and market design

← The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design ResponseEvery Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs →

Cite

@article{yao2018trading,
  author = {Yao, Chen and Ye, Mao},
  title = {{Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls}},
  journal = {The Review of Financial Studies},
  year = {2018},
  doi = {10.1093/rfs/hhy002}
}

Yao, C., & Ye, M. (2018). Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls. The Review of Financial Studies. https://doi.org/10.1093/rfs/hhy002