How Rigged Are Stock Markets? Evidence from Microsecond Timestamps
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...
Paper Details
Title
How Rigged Are Stock Markets? Evidence from Microsecond Timestamps
Published Date
Jan 1, 2016
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