Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed

DOI10.1080/1350486X.2021.1960574zbMath1484.91462OpenAlexW3198076498MaRDI QIDQ5063387

José S. Penalva, Mikel Tapia

Publication date: 21 March 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2021.1960574

zbMATH Keywords

heterogeneitylatencymarket qualitycolocationtick sizetick pilot

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

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• A Stochastic Model for Order Book Dynamics
• Competing on Speed
• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
• Quantifying the High-Frequency Trading “Arms Race”

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