Agenda

12 Nov 2026 12:00

A LITTLE CHAOS IS GOOD? - Prof. Lei Shi

Polo Rispoli San Giobbe - Aula Murano

Questo evento fa parte delle VSM Lectures, una serie di seminari tenuti da accademici illustri, provenienti da prestigiose università e istituzioni internazionali. I relatori e le relatrici presentano i loro recenti studi, condividono i principali risultati e approfondiscono l'impatto loro lavoro di ricerche che la società e le imprese stanno affrontando.

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

A cura di 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.

Lingua

L'evento si terrà in inglese

Organizzatore

Venice School of Management

Allegati

POSTER - ENG 303 KB

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