Joint Econometrics-Finance Lunch Seminar: Sander Schwenk-Nebbe, AU

Title: Automatic Order Matching and Latency in the Dissemination of U.S. Equity Data

2020.08.27 | Pernille Vorsø Jachobsen

Date Tue 01 Dec
Time 12:05 12:35
Location Online

Presenter: Sander Schwenk-Nebbe, AU

Title:  Automatic Order Matching and Latency in the Dissemination of U.S. Equity Data

Abstract: “Despite fully automated order matching, execution, and dissemination of the resulting data to the public, the sequence of events on the consolidated U.S. equity data feeds is frequently distorted. By virtue of automatic order matching, up to 65% of all trades trigger at the same time one or more top of book quote updates. Because of latency in dissemination, concurrent events need not be disseminated together on the consolidated data feeds. Up to 79% of quote updates are disseminated ahead of trades that concurrently trigger them, thereby impeding the identification of the prevailing quotes. This induces material errors in measures such as the price impact (understated by up to 44%) and the quoted relative spread (overstated by up to 24%). The issue can be readily avoided using timestamps allocated prior to dissemination and could be prevented entirely with a revised dissemination procedure.”

 

The 'Accounting and Finance' and 'Econometrics and Business Statistics' Sections arrange lunch seminars on a regular basis. The speakers are usually section members, mostly PhD students and postdocs. The speakers can also be visiting PhD students or professors. Each lunch seminar is followed by a discussion of the paper presented.

Organizer: Daniel Borup

Joint Econometrics-Finance Lunch Seminars