Finance Seminar（2019-33)

Topic: Liquid Speed: On-Demand Fast Trading at Distributed Exchanges

Speaker: Marius Zoican,University of Toronto

Time: Monday, 16 December, 13:30-15:00

Location: Room 217, Guanghua Building 2

Abstract:

Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a model of decentralized exchanges (DEX) with flexible capacity. On DEX, HFTs acquire speed in real-time from peer-to-peer networks. The price of speed surges during activity bursts, as HFTs simultaneously race to market. Relative to centralized exchanges, HFTs acquire more speed on DEX, but for shorter timespans. Low-latency "sprints" speed up price discovery without harming liquidity. Overall, speed rents decrease and fewer resources are locked-in to support zero-sum HFT trades.

Introduction：

Marius Zoican is an Assistant Professor of Finance at the University of Toronto Mississauga and Rotman School of Management from 2018. Before joining the University of Toronto, Marius was an Assistant Professor of Finance at Paris-Dauphine University in France between 2015 and 2018. Marius’ research is focused on market microstructure, particularly on how new technologies can improve financial market design. His research was published in leading journals such as The Review of Financial Studies, Management Science, and Journal of Banking and Finance. Marius obtained several academic grants for work in the field of financial technology, e.g., from the Canadian Social Sciences and Humanities Research Council, Canadian Securities Institute, and the Europlace Institute of Finance. He received several awards, including the Federation of European Securities Exchanges "De la Vega Award" (2016) for outstanding research in financial markets.

Your participation is warmly welcomed!