Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30

Autoři: Brian F. Tivnan aff001;  David Rushing Dewhurst aff002;  Colin M. Van Oort aff001;  John H. Ring, IV aff001;  Tyler J. Gray aff002;  Brendan F. Tivnan aff004;  Matthew T. K. Koehler aff001;  Matthew T. McMahon aff001;  David M. Slater aff001;  Jason G. Veneman aff001;  Christopher M. Danforth aff002
Působiště autorů: The MITRE Corporation, McLean, VA, United States of America aff001;  Vermont Complex Systems Center, University of Vermont, Burlington, VT, United States of America aff002;  Department of Mathematics and Statistics, University of Vermont, Burlington, VT, United States of America aff003;  Computational Finance Lab, Burlington, VT, United States of America aff004;  Department of Computer Science, University of Vermont, Burlington, VT, United States of America aff005;  Computational Story Lab, University of Vermont, Burlington, VT, United States of America aff006;  School of Engineering, Tufts University, Medford, MA, United States of America aff007
Vyšlo v časopise: PLoS ONE 15(1)
Kategorie: Research Article


Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in calendar year 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by the fragmentation of the equity marketplace are relatively common and persist for longer than what physical constraints may suggest. Information feeds reported different prices for the same equity more than 120 million times, with almost 64 million dislocation segments featuring meaningfully longer duration and higher magnitude. During this period, roughly 22% of all trades occurred while the SIP and aggregated direct feeds were dislocated. The current market configuration resulted in a realized opportunity cost totaling over $160 million, a conservative estimate that does not take into account intra-day offsetting events.

Klíčová slova:

Economics – Engines – Fiber optics – Finance – Financial markets – Money supply and banking – National security – Asymmetric information


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2020 Číslo 1
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