Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets
Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets
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 (SIP), we focus here on its accuracy. Relying on …