订单流和价格发现的竞争:高科技进入者的奇特案例

Gbenga Ibikunle
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引用次数: 3

摘要

提交给新进入的高科技市场(BATS Chi-X Europe - Chi-X)的超高频报价质量与老牌国家交易所(伦敦证券交易所- LSE)的超高频报价质量进行了比较。关于哪个平台将有关股票基本价值的新信息以最快的速度存入其价格,存在日内变化,以便两个市场在当天以及在高成交量和低成交量的股票中交替进行价格领导。价格领导的变化与两个平台上的知情交易、流动性和机构交易安排的影响是一致的,但与理论上的流动性-价格效率联系不一致。暗交易和算法交易通常阻碍Chi-X上交易量较小的股票的价格发现,而算法交易的影响通常对LSE股票的价格发现是积极的。尽管盘中价格领先的变化,Chi-X占价格发现的份额比其相对较低的交易份额所暗示的更多;至关重要的是,在价格领导地位竞争中的强劲表现,对其以伦敦证交所为代价获得市场份额至关重要。
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Competition for Order flow and Price Discovery: The Curious case of High-tech Entrants
The quality of ultra-high frequency quotes submitted to an entrant high-tech market (BATS Chi-X Europe – Chi-X) is compared to those of an established national exchange (London Stock Exchange – LSE). There are intraday variations regarding which platform impounds new information about the fundamental value of stocks into their prices fastest such that both markets alternate price leadership over the day and across high and low volume stocks. The variations in price leadership are consistent with the effects of informed trading, liquidity and institutional trading arrangements on both platforms, but inconsistent with the theoretical liquidity-price efficiency link. Dark and algorithmic trading are shown to generally impede price discovery for lower volume stocks on Chi-X, while the effect of algorithmic trading is found to be generally positive for LSE stocks’ price discovery. Despite the variations in intraday price leadership, Chi-X accounts for more share of price discovery than is suggested by its comparatively lower share of transactions; crucially, this strong showing in the price leadership contest is critical to its gaining of market share at the expense of the LSE.
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