Investment in High Frequency Trading Technology: A Real Options Approach
作者： Laura Delaney
DOI: 10.1016/J.EJOR.2018.03.025
关键词: Microeconomics 、 High-frequency trading 、 Social optimality 、 Equilibrium level 、 Economics 、 Investment (macroeconomics)
摘要: This paper derives an optimal timing strategy for a regular slow trader considering investing in high-frequency trading (HFT) technology. The market is fragmented, and traders compete with fast trade execution. Given this rule, I then char- acterise the equilibrium level of as well welfare-maximising socially level. show that there always unique cost investment such coincide. Finally discuss potential policy responses to addressing social optimality misalignment HFT.
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