We use stock exchange message data to quantify the negative aspect of high-frequency
trading, known as “latency arbitrage.” The key difference between message data and widely …

We use stock exchange message data to quantify the negative aspect of high-frequency
trading, known as" latency arbitrage." The key difference between message data and widely …

Will stock exchanges innovate to address latency arbitrage and the arms race for speed?
This paper models how exchanges compete in the modern electronic era and how this …

Using audit trail data from the Taiwan Stock Exchange, this paper compares the trading skill
of institutions and individuals around information shocks. We find suggestive evidence that …

The European equity trading landscape of 2022 is a complex mix of exchanges, dark pools,
dealers, and auctions. The once dominant national stock exchanges are now part of global …

We introduce and analyze a new market design for trading financial assets. The design
allows traders to directly trade any user-defined linear combination of assets. Orders for …

Recent European regulatory restrictions on dark trading induced an increase in sub-second
frequent batch/periodic auctions (PA). We exploit this development to investigate the effects …

This paper extends previous research performed with the SHIFT financial market simulation
platform. In our previous work, we show how this order-driven, distributed asynchronous …

This work aims to address the general order manipulation issue in blockchain-based
decentralized exchanges (DEX) by exploring the benefits of employing a novel combination …

We investigate the relationship between latency arbitrage and trading via frequent batch
auctions (FBA). We show that increases in single and cross-market latency arbitrage …