"On this episode of The Big Question, Chicago Booth Review's Hal Weitzman talks with Chicago Booth professor of economics Eric Budish, Chicago Trading Company's Steve Crutchfield, and former Commodity Futures Trading Commission commissioner Sharon Bowen about how speed affects financial markets and what, if anything, we should do about it."
Eric points out that competition among exchanges has worked well in driving down trading fees, and poorly in selling access--"co-location"--since each exchange has a monopoly on selling speedy access to its data.
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It's a bit of shame there's no mention in the talk that some exchanges outside the US have slowed things down, and that they haven't gone out of business as a result of that. E.g.,
--Chen, H., Foley, S., Goldstein, M., & Ruf, T. (2017). The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets.
--Melton, H. Market mechanism refinement on a continuous limit order book venue: a case study. (2017)
--Twu, Mia and Jianxin Wang. Call Auction Frequency and Market Quality: Evidence from the Taiwan Stock Exchange (2017)
How might some of these examples be used to influence policy on speed in financial markets in the US?
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