Agenda

12 Nov 2026 12:00

A LITTLE CHAOS IS GOOD? - Prof. Lei Shi

Polo Rispoli San Giobbe - Aula Murano

This event is part of VSM Lectures, a series of seminars by top scholars from renowned international universities and institutions. Invited speakers present their recent studies, share key findings, and explore the impact of their research on the challenges currently faced by society and organizations.

A LITTLE CHAOS IS GOOD? HOW EXCHANGE JITTER SHAPES HIGH-FREQUENCY TRADING AND MARKET QUALITY

VSM lecture held by Prof. Lei Shi – Macquarie Business School, Macquarie University

Abstract:

Financial markets process a continuous stream of trades and quotes in real time, leading to variability in exchange processing speed—known as jitter. We develop a theoretical model that links high frequency trading strategies to jitter. Using this model, we document that jitter can reduce bid-ask spreads via a reduction in adverse selection caused by stale quote sniping. We empirically test these predictions and find supporting evidence using a unique dataset from one of the world's fastest exchanges that discloses latency statistics. Our theoretical and empirical results suggest exchange-level jitter represents a viable tool to counter the HFT arms race for speed and improve liquidity outcomes for market participants.

Language

The event will be held in English

Organized by

Venice School of Management

Downloads

POSTER - ENG 303 KB

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