Bibtex export
@book{ Aldrich2017,
title = {Order protection through delayed messaging},
author = {Aldrich, Eric M. and Friedman, Daniel},
year = {2017},
series = {Discussion Papers / Wissenschaftszentrum Berlin für Sozialforschung, Forschungsschwerpunkt Markt und Entscheidung, Forschungsprofessur Market Design: Theory and Pragmatics},
pages = {43},
volume = {SP II 2017-502},
address = {Berlin},
publisher = {Wissenschaftszentrum Berlin für Sozialforschung gGmbH},
abstract = {Several financial exchanges have recently introduced messaging delays (e.g., a 350 microsecond delay at IEX and NYSE American) intended to protect ordinary investors from high-frequency traders who exploit stale orders. We propose an equilibrium model of this exchange design as a modification of the standard continuous double auction market format. The model predicts that a messaging delay will generally improve price efficiency and lower transactions cost but will increase queuing costs. Some of the predictions are testable in the field or in a laboratory environment.},
}