Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets

Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor—the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor (SIP), we focus here...

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Bibliographic Details
Main Authors: Brian F. Tivnan, David Slater, James R. Thompson, Tobin A. Bergen-Hill, Carl D. Burke, Shaun M. Brady, Matthew T. K. Koehler, Matthew T. McMahon, Brendan F. Tivnan, Jason G. Veneman
Format: Article
Language:English
Published: MDPI AG 2018-10-01
Series:Journal of Risk and Financial Management
Subjects:
market microstructure
price discovery
latency
Online Access:https://www.mdpi.com/1911-8074/11/4/73

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https://www.mdpi.com/1911-8074/11/4/73

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