Acceso abierto

Regulations and Technology Behind HFT Latency, Batch Auctions and Payments for Order Flow in the US and EU


Cite

Anthony, S. (2012). $1.5 Billion: The Cost of Cutting London-Tokyo Latency by 60 Ms, Extremetech. Retrieved from https://www.extremetech.com/extreme/122989-1-5-billion-the-cost-of-cutting-london-toyko-latency-by-60ms (05-03-2017).Search in Google Scholar

Anthony, S. (2016). The Secret World of Microwave Networks, Arstechnica,.Retrieved from https://arstechnica.com/information-technology/2016/11/private-microwave-networks-financial-hft/ (05-03-2017).Search in Google Scholar

BIS (2011). High-frequency Trading in the Foreign Exchange Market, BIS.Search in Google Scholar

BIS (2017). The Sterling “Flash Event” of 7 October 2016, BIS.Search in Google Scholar

Budish, E., Cramton, P., Shim, J. (2015). The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response. The Quarterly Journal of Economics 130 (4), 1547-1621. Doi:10.1093/qje/qjv027.10.1093/qje/qjv027Open DOISearch in Google Scholar

Catnmsplan (2014, February 27). SEC Rule 613 - Consolidated Audit Trail (CAT), Proceedings from Industry Outreach Event.Search in Google Scholar

Caproasia (2017). 2016Stock Exchange Market Capitalization. Retrieved form https://www.caproasia.com/2017/01/27/2016-stock-exchange-market-capitalization/ (12-07-2018).Search in Google Scholar

CFA Institute, (2016). Payment for Order Flow, CFA Institute.Search in Google Scholar

CFR (2018). Disclosure of Order Routing Information. Commodity and Securities Exchanges 242, 242-606.Search in Google Scholar

CHX, (2016). CHX SNAP, Chicago Stock Exchange. Retrieved from http://www.chx.com/snap/ (31-03-2017).Search in Google Scholar

Daly, R., (2016). SEC Tightens Clock-Sync Mandate, Marketsmedia. Retrieved from http://marketsmedia.com/sec-tightens-clock-sync-mandate/ (17-03-2017).Search in Google Scholar

Davies, R. (2016, October 7). What Caused the Pound’s Flash Crash?, The Guardian, (01-04-2017).Search in Google Scholar

Durden, T. (2015). Meanwhile, Over at the “New York” Stock Exchange: Even More Lasers, Zerohedge. Retrieved from http://www.zerohedge.com/news/2015-12-27/meanwhile-over-new-york-stock-exchange-lots-lasers (05-03-2017).Search in Google Scholar

Easley, D., Lopez de Prado, M., O’Hara, M. (2011). The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes and The Probability Of Informed Trading. The Journal of Portfolio Management 37(2), 118-128.10.3905/jpm.2011.37.2.118Search in Google Scholar

Easley, D., López de Prado, M.M., O’Hara, M. (2012). The Volume Clock: Insights into the High-frequency Paradigm. The Journal of Portfolio Management 39(1), 19-29.10.3905/jpm.2012.39.1.019Search in Google Scholar

Times, E. (2015). BSE Eyes 10 Times Faster Trading in the Next Few Months. Economic Times. Retrieved from http://economictimes.indiatimes.com/markets/stocks/news/bse-eyes-10-times-faster-trading-speed-in-next-few-months/articleshow/49031646.cms (05-03-2017).Search in Google Scholar

Nr 2014/65/EU, Markets in Financial Instruments (MiFID II), 2014, ESMA.Search in Google Scholar

ESMA, (2017). Conduct of Business Sourcebook, COBS (Release 14), EMSA.Search in Google Scholar

FCA, (2014). Best execution and payment for order flow. Review (TR14/13), Financial Conduct Authority.Search in Google Scholar

FINRA, (2016). Regulatory notice 16-23, FINRA. Retrieved from http://www.finra.org/industry/notices/16-23 (17-03-2017).Search in Google Scholar

FINRA, (2017). OATS Clock Synchronization FAQ, FINRA. Retrieved from http://www.finra.org/industry/faq-oats-clock-synchronization-faq (17-03-2017).Search in Google Scholar

Fricke, D., Gerig, A. (2016). Too Fast or Too Slow? Determining the Optimal Speed of Financial Markets.10.1080/14697688.2017.1391405Search in Google Scholar

FSA, (2012). Guidance on the Practice of “Payment for Order Flow”. Finalised Guidance (FG12/13), FSA.Search in Google Scholar

(2014), High Frequency Trading Litigation - Defenses(1), QUAINTON LAW. Retrieved from http://quaintonlaw.com/high-frequency-trading-litigation-defenses-1/ (24-03-2017).Search in Google Scholar

Ismail, N.I., Mnyanda, L. (2016, October 7). Flash Crash of the Pound Baffles Traders With Algorithms Being Blamed, Bloomberg. Retrieved from https://www.bloomberg.com/news/articles/2016-10-06/pound-plunges-6-1-percent-in-biggest-drop-since-brexit-result (01-04-2017).Search in Google Scholar

Lam, B. (2016). A New, Slower Stock Exchange. The Atlantic. Retrieved from https://www.theatlantic.com/business/archive/2016/06/iex-approved/487898/ (13-03-2017).Search in Google Scholar

Lenzner, R. (2011, October 8). “Cheetah” Traders Are Dangerously Controlling Our Markets, Forbes. Retrieved from https://www.forbes.com/sites/robertlenzner/2011/10/08/cheetah-traders-are-dangerously-controlling-our-markets/#544c8f607094 (05-03-2017).Search in Google Scholar

Levey, S. (2013). SEC Rule 613: Consolidated Audit Trail - National Market System (NMS) plan, Deloitte.Search in Google Scholar

Levinson, C. (2016, May 10). Exclusive: U.S. Investigates Market-aking Operations of Citadel, KCG. Reuters, Retrieved from http://www.reuters.com/article/us-usa-stocks-probe-exclusive-idUSKCN0Y11CJ (24-03-2017).Search in Google Scholar

Marchisi, J.C. (2016, June 13). Theft of Opportunity - The Impact of Regulation NMS on the Retail Investor. Retrieved from http://www.nanex.net/aqck2/4713.html (24-03-2017).Search in Google Scholar

Massa, A. (2016, May 20). Payment for Order Flow - Professionals Pay to Make Trades for Small Investors. Bloomberg, Retrieved from https://www.bloomberg.com/quicktake/payment-for-order-flow (19-03-2017).Search in Google Scholar

McCrank, J. (2014). Dark Markets May Be More Harmful Than High-Frequency Trading, Reuters. Retrieved (31-03-2017).Search in Google Scholar

Mcdowell, H., (2016). Clock Synchronisation… Time is Ticking. The trade, Retrieved from http://www.thetradenews.com/Regulation/Clock-synchronisation…time-is-ticking/ (17-03-2017).Search in Google Scholar

McKenna, F. (2015). Here’s the Advantage High-frequency Trading Firms Have Over Everyone Else. MarketWatch, Retrieved from http://www.marketwatch.com/story/heres-the-advantage-high-frequency-trading-firms-have-over-everyone-else-2015-08-13 (05-03-2017).Search in Google Scholar

NYSE, (2017). NYSE. Retrieved from https://www.nyse.com/data/cta (13-03-2017).Search in Google Scholar

Peralta, A.J. (2016, March 4). The Legal Landscape of Class Arbitration Waivers n Consumer Contracts. Retrieved from http://apps.americanbar.org/litigation/committees/appellate/articles/winter2016-0316-legal-landscape-class-arbitration-waivers-consumer-contracts.html (25-03-2017).Search in Google Scholar

Robinson, G. (2009, September 22). Exchanges Warn G20 of Dangers in ‘Dark Pools’, FT. Retrieved from https://www.ft.com/content/71069076-a795-11de-b0ee-00144feabdc0 (31-03-2017).Search in Google Scholar

SEC, (2017). Rule 613 Info, SEC. Retrieved from https://www.sec.gov/divisions/marketreg/rule613-info.htm (17-03-2017).Search in Google Scholar

SIDLEY, (2016). SEC Proposes Rules to Enhance Order Handling Information Available to Investors, SIDLEY. Retrieved from http://www.sidley.com/news/2016-08-08-sder-update (18-03-2018).Search in Google Scholar

Skoog, P. (2017, January 30). Synchronizing Trading Clocks for Regulatory Compliance - Are Your networks ready?, Electronic Design. Retrieved from http://electronicdesign.com/digital-ics/synchronizing-trading-clocks-regulatory-compliance-are-your-networks-ready.Search in Google Scholar

Sprothen, V. (2016, August 8). Trading Tech Accelerates Toward Speed of Light. The Wall Street Journal. Retrieved from https://www.fnlondon.com/articles/trading-technology-accelerates-toward-speed-of-light-20160808 (05-03-2017).Search in Google Scholar

Von Hoffman, C. (2014). What are “Dark Pools,” and Why are They Dangerous?, CBS. Retrieved from http://www.cbsnews.com/news/finances-dark-pools-explained/ (August 12).Search in Google Scholar