Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/197764
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Working Paper No. 738
Verlag: 
University of California, Economics Department, Santa Cruz, CA
Zusammenfassung: 
Investors' Exchange LLC (IEX) is a newly approved public exchange that is designed to discourage aggressive high-frequency trading. We explain how IEX differs from traditional continuous double auction markets and present summary data on IEX transactions by trader class and or- der type. Our primary contribution is a simple analytic model of IEX as a constrained version of the continuous double auction. The model predicts that IEX will generally improve price efficiency and lower transactions cost while increasing delay costs. A subset of the model's predictions are testable in the field or in a laboratory environment.
Schlagwörter: 
Market design
IEX
lab experiments
high-frequency trading
continuous double auction
JEL: 
C91
D44
D47
D53
G12
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
294.27 kB





Publikationen in EconStor sind urheberrechtlich geschützt.