Speed, Distance, and Electronic Trading: New Evidence on Why Location Matters

摘要：

We examine the execution quality of electronic stock traders who are geographically dispersed throughout the U.S. Traders who are located near market central computers in the New York City area experience faster order execution. Moreover, the time to execute orders rises as a trader’s actual distance (mileage) to NYC widens. In electronic market settings, data transfer limitations and transmission slowdowns result in geographically dispersed electronic traders having different access to trading speed. We find that speed advantaged traders experience lower transaction costs and engage in strategies that are more conducive to speed.

作者: Ryan Garvey Fei Wu

作者单位: Duquesne University, Pittsburgh, PA. 15282 Massey University, Palmerston North, New Zealand

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-38

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）