Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...

There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between stocks. If the answer is affirmative, and the lengths...