Does the consolidated feed matter?

• المؤلف الرئيسي: YU, Shihao
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2023
• الموضوعات: consolidated feed; algorithmic trading; market liquidity; Finance and Financial Management
• 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

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...