Order Protection through Delayed Messaging
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- Aldrich, Eric M. & Friedman, Daniel, 2017. "Order protection through delayed messaging," Discussion Papers, Research Professorship Market Design: Theory and Pragmatics SP II 2017-502, WZB Berlin Social Science Center.
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Citations
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Cited by:
- Collins, Sean M. & James, Duncan & Servátka, Maroš & Vadovič, Radovan, 2021.
"Attainment of equilibrium via Marshallian path adjustment: Queueing and buyer determinism,"
Games and Economic Behavior, Elsevier, vol. 125(C), pages 94-106.
- Collins, Sean M. & James, Duncan & Servátka, Maroš & Vadovič, Radovan, 2020. "Attainment of Equilibrium via Marshallian Path Adjustment: Queueing and Buyer Determinism," MPRA Paper 104444, University Library of Munich, Germany.
- Eric M. Aldrich & Kristian López Vargas, 2020. "Experiments in high-frequency trading: comparing two market institutions," Experimental Economics, Springer;Economic Science Association, vol. 23(2), pages 322-352, June.
- Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2023.
"Arbitrage bots in experimental asset markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 262-278.
- Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2019. "Arbitrage bots in experimental asset markets," MPRA Paper 96224, University Library of Munich, Germany.
- Kyungsub Lee & Byoung Ki Seo, 2022. "Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data," Papers 2201.10173, arXiv.org.
- Mariana Khapko & Marius Zoican, 2019. "Do speed bumps curb low-latency trading? Evidence from a laboratory market," Papers 1910.03068, arXiv.org.
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More about this item
Keywords
Market design; high-frequency trading; continuous double auction; IEX; lab experiments;All these keywords.
JEL classification:
- C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
- D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
- D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2021-04-19 (Market Microstructure)
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