Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets

被引：1

作者：

Tivnan, Brian F. ^{[1
,2
]}

Slater, David ^{[1
]}

Thompson, James R. ^{[1
]}

Bergen-Hill, Tobin A. ^{[1
]}

Burke, Carl D. ^{[1
]}

Brady, Shaun M. ^{[3
]}

Koehler, Matthew T. K. ^{[1
]}

McMahon, Matthew T. ^{[1
]}

Tivnan, Brendan F. ^{[2
]}

Veneman, Jason G. ^{[1
]}

机构：

[1] Mitre Corp, 7525 Colshire Dr, Mclean, VA 22102 USA

[2] Univ Vermont, Vermont Complex Syst Ctr, Burlington, VT 05405 USA

[3] Ctr Model Based Regulat, Davidsonville, MD 21035 USA

来源：

JOURNAL OF RISK AND FINANCIAL MANAGEMENT | 2018年 / 11卷 / 04期

关键词：

market microstructure; price discovery; latency;

D O I：

10.3390/jrfm11040073

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor-the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor (SIP), we focus here on its accuracy. Relying on Trade and Quote data, we provide various measures of SIP latency relative to high-speed data feeds between exchanges, known as direct feeds. We use first differences to highlight not only the divergence between the direct feeds and the SIP, but also the fundamental inaccuracy of the SIP. We find that as many as 60% or more of trades are reported out of sequence for stocks with high trade volume, therefore skewing simple measures, such as returns. While not yet definitive, this analysis supports our preliminary conclusion that the underlying infrastructure of the SIP is currently unable to keep pace with the trading activity in today's stock market.

引用

页数：17

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