Latency in Fragmented Markets
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DOI: 10.1016/j.red.2019.04.010
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- Tomy Lee, 2019. "Code and data files for "Latency in Fragmented Markets"," Computer Codes 18-287, Review of Economic Dynamics.
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Cited by:
- Benjamin Lester & Pierre-Olivier Weill & Ariel Zetlin-Jones, 2019. "RED Special Issue on Fragmented Financial Markets: An Introduction," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 1-3, July.
- Jeon, Yoontae & Samarbakhsh, Laleh & Hewitt, Kenji, 2021. "Fragmentation in the Bitcoin market: Evidence from multiple coexisting order books," Finance Research Letters, Elsevier, vol. 39(C).
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More about this item
Keywords
Latency; Market fragmentation; Liquidity; Price discovery;All these keywords.
JEL classification:
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- D62 - Microeconomics - - Welfare Economics - - - Externalities
- G1 - Financial Economics - - General Financial Markets
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
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