How Do the Lengths of the Lead Lag Time between Stocks Evolve? Tick-by-tick Level Measurements across Two Decades
There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between stocks. If the answer is affirmative, and the lengths of t...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
University of Warsaw
2022-11-01
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| Series: | Journal of Banking and Financial Economics |
| Online Access: | https://press.wz.uw.edu.pl/cgi/viewcontent.cgi?article=1011&context=jbfe |
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