How Rigged Are Stock Markets?: Evidence From Microsecond Timestamps
收藏NBER2016-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w22551
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资源简介：
We use new timestamp data from the two Securities Information Processors (SIPs) to examine SIP reporting latencies for quote and trade reports. Reporting latencies average 1.13 milliseconds for quotes and 22.84 milliseconds for trades. Despite these latencies, liquidity-taking orders gain on average
提供机构：
美国国家经济研究局
创建时间：
2016-08-01
