How Rigged Are Stock Markets? : Evidence From Microsecond Timestamps

Robert P. Bartlett, III, Justin McCrary

We use new timestamp data from the two Securities Information Processors (SIPs) to examine SIP reporting latencies for quote and trade reports. Reporting latencies average 1.13 milliseconds for quotes and 22.84 milliseconds for trades. Despite these latencies, liquidity-taking orders gain on average $0.0002 per share when priced at the SIP-reported national best bid or offer (NBBO) rather than the NBBO calculated using exchanges' direct data feeds. Trading surrounding SIP-priced trades shows little evidence that fast traders initiate these liquidity-taking orders to pick-off stale quotes. These findings contradict claims that fast traders systematically exploit traders who transact at the SIP NBBO

MoreLess

Year of publication:	August 2016
Authors:	Bartlett, Robert P, III.
Other Persons:	McCrary, Justin (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Schätzung \| Estimation \| Zeit \| Time \| Kapitalmarktrendite \| Capital market returns \| Elektronisches Handelssystem \| Electronic trading \| Marktliquidität \| Market liquidity \| Aktienmarkt \| Stock market

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w22551
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w22551 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012456128