论文标题
关于市场设计和延迟套利
On Market Design and Latency Arbitrage
论文作者
论文摘要
我们认为，由于交易者无法完全表达其在订单的执行时间上，当代股票市场的设计是由于容易出现延迟套利的偏好。反过来，我们提出了一种新的订单类型，该类型允许交易者指定到达交易所后执行其订单的时间。使用此订单类型，交易者可以在不同的交易所中同步订单执行，以便高频交易者即使以光速运行，也无法更长时间参与延迟套利。
We argue that contemporary stock market designs are, due to traders' inability to fully express their preferences over the execution times of their orders, prone to latency arbitrage. In turn, we propose a new order type which allows traders to specify the time at which their orders are executed after reaching the exchange. Using this order type, traders can synchronize order executions across different exchanges, such that high-frequency traders, even if they operate at the speed of light, can no-longer engage in latency arbitrage.
