Liquid speed: A micro-burst fee for low-latency exchanges

被引：1
|
作者：
Brolley, Michael [1 ]
Zoican, Marius [2 ,3 ]
机构：
[1] Wilfrid Laurier Univ, Lazaridis Sch Business, 75 Univ Ave West, Waterloo, ON N2L 3C5, Canada
[2] Univ Toronto Mississauga, 105 St George St, Toronto, ON M5S 3E6, Canada
[3] Rotman Sch Management, 105 St George St, Toronto, ON M5S 3E6, Canada
来源：
JOURNAL OF FINANCIAL MARKETS | 2023年 / 64卷
关键词：
High-frequency trading; Latency arbitrage; Dynamic pricing; FinTech; MARKET;
D O I：
10.1016/j.finmar.2022.100785
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A micro-burst fee on liquidity-taking orders that surges during high-frequency races reduces costs associated with latency arbitrage. Moreover, micro-burst fees provide higher revenue for exchanges versus co-location subscriptions. Unlike co-location fees, micro-burst fees scale with trading activity and allow exchanges to extract higher revenues from HFTs. To ensure long-run adoption incentives for exchanges, a regulator should impose a cap on micro-burst fees; for example, a calibration suggests that liquidity improves with a micro-burst fee as low as 7.8 bps, while a Reg NMS cap on fees of 30 bps per share would improve liquidity by 75%.
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页数：24
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