Towards a model of the U.S. stock market: How important is the securities information processor?

摘要

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor - the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor, or SIP, we focus here on its importance to efficient, price discovery. Via extensions to a previous market model, we experiment with four different coupling mechanisms which operate across the US stock market. Of the four, we find that the SIP contributes most to efficient price discovery.