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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | The effect of fast trading on price discovery and efficiency: Evidence from a betting exchange |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Economic Behavior & Organization |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0167-2681 |
| Volume | 156 |
| Page Range | 126 - 143 |
| Date | 2018 |
| Abstract Text | We examine how the presence of fast traders impacts price discovery and efficiency in a real-world setting, i.e., courtsiding, the activity of live betting from a tennis stadium. This setting allows us to isolate the activity of fast-acting traders who have a short-term monopolistic access to important information with respect to other traders who trade based on delayed TV images. Using live-tennis betting data combined with detailed point-by-point match data, our results show that courtsider trading promotes quick price discovery and correctly incorporates new information into prices. We estimate that a simple trading strategy yields a positive trading return to fast traders after the occurrence of important informational events. |
| Digital Object Identifier | 10.1016/j.jebo.2018.09.020 |
| Other Identification Number | merlin-id:17709 |
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