Does the consolidated feed matter?

In this paper we examine the role of the consolidated feeds in the current U.S. equities market by studying exogenous events which affect their speed and availability respectively. We find that faster consolidated feeds have an adverse, albeit mild, impact on market liquidity, possibly as a result o...

وصف كامل

محفوظ في:
التفاصيل البيبلوغرافية
المؤلف الرئيسي: YU, Shihao
التنسيق: text
اللغة:English
منشور في: Institutional Knowledge at Singapore Management University 2023
الموضوعات:
الوصول للمادة أونلاين:https://ink.library.smu.edu.sg/lkcsb_research/7507
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8506/viewcontent/ssrn_id4624087_wp.pdf
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المؤسسة: Singapore Management University
اللغة: English
الوصف
الملخص:In this paper we examine the role of the consolidated feeds in the current U.S. equities market by studying exogenous events which affect their speed and availability respectively. We find that faster consolidated feeds have an adverse, albeit mild, impact on market liquidity, possibly as a result of more non-high-frequency algorithmic trading activities from informed institutional traders. Moreover, when the consolidated feeds become corrupted or unavailable due to technical glitches, market liquidity significantly worsens. Our findings suggest that the consolidated feeds remain a crucial component of today’s market data infrastructure.