NDLI: How Rigged Are Stock Markets? Evidence from Microsecond Timestamps

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How Rigged Are Stock Markets? Evidence from Microsecond Timestamps

Content Provider	Semantic Scholar
Author	Bartlett, Robert P. McCrary, Justin
Copyright Year	2016
Abstract	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. Statement of Financial Disclosure and Conflict of Interest: Neither author has any financial interest or affiliation (including research funding) with any commercial organization that has a financial interest in the findings of this paper. The authors are grateful to the University of California, Berkeley School of Law, for providing general faculty research support.
File Format	PDF HTM / HTML
DOI	10.2139/ssrn.2812123
Alternate Webpage(s)	https://www.law.berkeley.edu/wp-content/uploads/2019/10/bartlett_mccrary_latency2017.pdf
Alternate Webpage(s)	https://eml.berkeley.edu/~jmccrary/bartlett_mccrary_latency2017.pdf
Alternate Webpage(s)	https://doi.org/10.2139/ssrn.2812123
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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