• 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.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1803881