Faculty of Business Administration
Hosted by The Business Research and Training Center
The Fast and the Furious: Exchange Latency and Ever-fast Trading
Xuezhong (Tony) HE
Professor of Finance
University of Technology Sydney, Australia
Date: December 9, 2020 (Wednesday)
Time: 14:00 – 15:00
Deadline for Registration: 06/12/2020
This paper examines how technological innovations drive fast trading investment for both speculators and exchanges and their impact on market. The negative externality of the speed acquisition from fast speculators can result in excessive investment, which is intensified as speculators’ speed technology advances. As exchange’s speed technology advances, faster exchange makes faster speculators more concentrated; that is, higher exchange speed shrinks market fraction of fast speculators but stimulates their optimal trading speed. As the result, market liquidity is improved but price discovery is reduced. Policy makers aiming to balance price discovery and deadweight loss from costly speed investment may lead to a mismatch between the desired exchange speed for policy makers and the optimal speed supplied by exchange, echoing the concerns of market regulations about market failure on speed arms race.
Tony He has been a Professor in Finance at University of Technology Sydney (UTS) since 2010. He has been a co-editor of Journal of Economic Dynamics and Control (an ABDC A* journal) since 2013. Prof. Tony He received his PhD in Finance in 2010 from UTS and PhD in Applied Mathematics in 1995 from Flinders University, the two fundamental disciplines that underpin his areas of teaching and research.
Tony is an internationally recognized expert in asset pricing, financial market modelling, market microstructure, and nonlinear dynamics in finance and economics. His international research profile is attested by his publications in the field of finance and economics, invited contributions to the prestigious Handbook of Financial Markets and Handbook of Computational Economics, numerous keynote talks in the international conferences, and a number of competitively national and international research grants.