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%.

引用

页数：24

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