Equilibrium fast trading

被引：169

作者：

Biais, Bruno ^{[1
,2
]}

Foucault, Thierry ^{[3
]}

Moinas, Sophie ^{[4
,5
]}

机构：

[1] Toulouse Sch Econ, CNRS CRM, F-31000 Toulouse, France

[2] Toulouse Sch Econ, Mfg Tabacs, FBF IDEI Chair Investment Banking & Financial Mar, F-31000 Toulouse, France

[3] HEC, F-78351 Jouy En Josas, France

[4] Univ Toulouse 1, Capitole, Toulouse Sch Econ, F-31000 Toulouse, France

[5] FBF IDEI Chair Investment Banking & Financial Mar, Mfg Tabacs, F-31000 Toulouse, France

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2015年 / 116卷 / 02期

基金：

欧洲研究理事会;

关键词：

High-frequency trading; Externalities; Welfare; INFORMATION; MARKET;

D O I：

10.1016/j.jfineco.2015.03.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

High speed market connections improve investors' ability to search for attractive quotes in fragmented markets, raising gains from trade. They also enable fast traders to obtain information before slow traders, generating adverse selection, and thus negative externalities. When investing in fast trading technologies, institutions do not internalize these externalities. Accordingly, they overinvest in equilibrium. Completely banning fast trading is dominated by offering two types of markets: one accepting fast traders, the other banning them. Utilitarian welfare is maximized with (i) a single market type on which fast and slow traders coexist and (ii) Pigovian taxes on investment in the fast trading technology. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：292 / 313

页数：22

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