DocumentCode :
1803881
Title :
Mispricing and Exchange Market Systems: The Effect of Infrastructure Upgrades
Author :
Wagener, Martin ; Kundisch, Dennis ; Riordan, Ryan ; Rabhi, Fethi ; Weinhardt, Christof
Author_Institution :
Univ. of Karlsruhe, Karlsruhe, Germany
fYear :
2010
fDate :
5-8 Jan. 2010
Firstpage :
1
Lastpage :
10
Abstract :
We study the effects of an infrastructure change at the Deutsche Boerse in Germany. On April 23rd 2007, Deutsche Boerse released an upgraded version of their electronic trading system Xetra. We examine the impact that this upgrade had on the efficiency of prices, measured as the level of mispricing, in the underlying liquid cash market and derivative futures market. Our analysis shows that the level of mispricings is economically and statistically (significant) reduced by the system upgrade.
Keywords :
pricing; securities trading; Xetra; electronic trading system; exchange market systems; liquid cash market; market system mispricing; securities exchanges; Consumer electronics; Costs; Delay; Economic forecasting; Finance; Information security; Information systems; Semiconductor device measurement; Stock markets; Testing;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
System Sciences (HICSS), 2010 43rd Hawaii International Conference on
Conference_Location :
Honolulu, HI
ISSN :
1530-1605
Print_ISBN :
978-1-4244-5509-6
Electronic_ISBN :
1530-1605
Type :
conf
DOI :
10.1109/HICSS.2010.275
Filename :
5428563
Link To Document :
https://search.ricest.ac.ir/dl/search/defaultta.aspx?DTC=49&DC=1803881
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