Daniel Trepanier

Santa Clara University

500 El Camino Real

Santa Clara, CA 95053

United States

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Scholarly Papers (1)

1.

Violations of Price-Time Priority and Implications for Market Quality

Number of pages: 40 Posted: 10 Jan 2020
Seoyoung Kim and Daniel Trepanier
Santa Clara University and Santa Clara University
Downloads 27 (514,669)

Abstract:

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price/time priority; queuing uncertainty; high-frequency trading (HFT); excess messaging; order imbalance; market design; market microstructure