SAFE working paper
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- Scharnowski, Stefan (2) (entfernen)
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- Arbeitspapier (2)
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- Englisch (2)
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- Broker (1)
- Colocation (1)
- Execution Cost (1)
- High-Frequency Trading (1)
- Institutional Investor (1)
366
Colocation services offered by stock exchanges enable market participants to achieve execution costs for large orders that are substantially lower and less sensitive to transacting against high-frequency traders. However, these benefits manifest only for orders executed on the colocated brokers' own behalf, whereas customers' order execution costs are substantially higher. Analyses of individual order executions indicate that customer orders originating from colocated brokers are less actively monitored and achieve inferior execution quality. This suggests that brokers do not make effective use of their technology, possibly due to agency frictions or poor algorithm selection and parameter choice by customers.
327
Non-standard errors
(2021)
Menkveld, Albert J. ; Dreber, Anna ; Holzmeister, Felix ; Huber, Jürgen ; Johannesson, Magnus ; Kirchler, Michael ; Razen, Michael ; Weitzel, Utz ; Abad Díaz, David ; Abudy, Menachem ; Adrian, Tobias ; Ait-Sahalia, Yacine ; Akmansoy, Olivier ; Alcock, Jamie ; Alexeev, Vitali ; Aloosh, Arash ; Amato, Livia ; Amaya, Diego ; Angel, James ; Bach, Amadeus ; Baidoo, Edwin ; Bakalli, Gaetan ; Barbon, Andrea ; Bashchenko, Oksana ; Bindra, Parampreet Christopher ; Bjonnes, Geir Hoidal ; Black, Jeff ; Black, Bernard S. ; Bohorquez, Santiago ; Bondarenko, Oleg ; Bos, Charles S. ; Bosch-Rosa, Ciril ; Bouri, Elie ; Brownlees, Christian ; Calamia, Anna ; Cao, Viet Nga ; Capelle-Blancard, Gunther ; Capera, Laura ; Caporin, Massimiliano ; Carrion, Allen ; Caskurlu, Tolga ; Chakrabarty, Bidisha ; Chernov, Mikhail ; Cheung, William M. ; Chincarini, Ludwig Boris ; Chordia, Tarun ; Chow, Sheung Chi ; Clapham, Benjamin ; Colliard, Jean-Edouard ; Comerton-Forde, Carole ; Curran, Edward ; Dao, Thong ; Dare, Wale ; Davies, Ryan J. ; De Blasis, Riccardo ; De Nard, Gianluca ; Declerck, Fany ; Deev, Oleg ; Degryse, Hans ; Deku, Solomon ; Desagre, Christophe ; Dijk, Mathijs van ; Dim, Chukwuma ; Dimpfl, Thomas ; Dong, Yun Jiang ; Drummond, Philip ; Dudda, Tom ; Dumitrescu, Ariadna ; Dyakov, Teodor ; Haubo Dyhrberg, Anne ; Dzieliński, Michał ; Eksi, Asli ; El Kalak, Izidin ; Ellen, Saskia ter ; Eugster, Nicolas ; Evans, Martin D. D. ; Farrell, Michael ; Félez-Viñas, Ester ; Ferrara, Gerardo ; Ferrouhi, El Mehdi ; Flori, Andrea ; Fluharty-Jaidee, Jonathan ; Foley, Sean ; Fong, Kingsley Y. L. ; Foucault, Thierry ; Franus, Tatiana ; Franzoni, Francesco ; Frijns, Bart ; Frömmel, Michael ; Fu, Servanna ; Füllbrunn, Sascha ; Gan, Baoqing ; Gehrig, Thomas ; Gerritsen, Dirk ; Gil-Bazo, Javier ; Glosten, Lawrence R. ; Gomez, Thomas ; Gorbenko, Arseny ; Güçbilmez, Ufuk ; Grammig, Joachim ; Gregoire, Vincent ; Hagströmer, Björn ; Hambuckers, Julien ; Hapnes, Erik ; Harris, Jeffrey H. ; Harris, Lawrence ; Hartmann, Simon ; Hasse, Jean-Baptiste ; Hautsch, Nikolaus ; He, Xuezhong ; Heath, Davidson ; Hediger, Simon ; Hendershott, Terrence ; Hibbert, Ann Marie ; Hjalmarsson, Erik ; Hoelscher, Seth A. ; Hoffmann, Peter ; Holden, Craig W. ; Horenstein, Alex R. ; Huang, Wenqian ; Huang, Da ; Hurlin, Christophe ; Ivashchenko, Alexey ; Iyer, Subramanian Rama ; Jahanshahloo, Hossein ; Jalkh, Naji ; Jones, Charles M. ; Jurkatis, Simon ; Jylha, Petri ; Kaeck, Andreas ; Kaiser, Gabriel ; Karam, Arzé ; Karmaziene, Egle ; Kassner, Bernhard ; Kaustia, Markku ; Kazak, Ekaterina ; Kearney, Fearghal ; Kervel, Vincent van ; Khan, Saad ; Khomyn, Marta ; Klein, Tony ; Klein, Olga ; Klos, Alexander ; Koetter, Michael ; Krahnen, Jan Pieter ; Kolokolov, Aleksey ; Korajczyk, Robert A. ; Kozhan, Roman ; Kwan, Amy ; Lajaunie, Quentin ; Lam, FY Eric C ; Lambert, Marie ; Langlois, Hugues ; Lausen, Jens ; Lauter, Tobias ; Leippold, Markus ; Levin, Vladimir ; Li, Yijie ; Li, Hui ; Liew, Chee Yoong ; Lindner, Thomas ; Linton, Oliver B. ; Liu, Jiacheng ; Liu, Anqi ; Llorente, Guillermo ; Lof, Matthijs ; Lohr, Ariel ; Longstaff, Francis A. ; Lopez-Lira, Alejandro ; Mankad, Shawn ; Mano, Nicola ; Marchal, Alexis ; Martineau, Charles ; Mazzola, Francesco ; Meloso, Debrah ; Mihet, Roxana ; Mohan, Vijay ; Moinas, Sophie ; Moore, David ; Mu, Liangyi ; Muravyev, Dmitriy ; Murphy, Dermot ; Neszveda, Gabor ; Neumeier, Christian ; Nielsson, Ulf ; Nimalendran, Mahendrarajah ; Nolte, Sven ; Norden, Lars L. ; O'Neill, Peter ; Obaid, Khaled ; Ødegaard, Bernt Arne ; Östberg, Per ; Painter, Marcus ; Palan, Stefan ; Palit, Imon ; Park, Andreas ; Pascual, Roberto ; Pasquariello, Paolo ; Pastor, Lubos ; Patel, Vinay ; Patton, Andrew J. ; Pearson, Neil D. ; Pelizzon, Loriana ; Rzeźnik, Aleksandra ; Sanford, Anthony ; Sankaran, Harikumar ; Sarkar, Asani ; Sarno, Lucio ; Scaillet, O. ; Scharnowski, Stefan ; Schenk-Hoppé, Klaus Reiner ; Schertler, Andrea ; Schneider, Michael ; Schroeder, Florian ; Schürhoff, Norman ; Schuster, Philipp ; Schwarz, Marco A. ; Seasholes, Mark S. ; Seeger, Norman ; Shachar, Or ; Shkilko, Andriy ; Shui, Jessica ; Sikic, Mario ; Simion, Giorgia ; Smales, Lee A. ; Söderlind, Paul ; Sojli, Elvira ; Sokolov, Konstantin ; Spokeviciute, Laima ; Stefanova, Denitsa ; Subrahmanyam, Marti G. ; Neusüss, Sebastian ; Szaszi, Barnabas ; Talavera, Oleksandr ; Tang, Yuehua ; Taylor, Nicholas ; Tham, Wing Wah ; Theissen, Erik ; Thimme, Julian ; Tonks, Ian ; Tran, Hai ; Trapin, Luca ; Trolle, Anders B. ; Valente, Giorgio ; Van Ness, Robert A. ; Vasquez, Aurelio ; Verousis, Thanos ; Verwijmeren, Patrick ; Vilhelmsson, Anders ; Vilkov, Grigory ; Vladimirov, Vladimir ; Vogel, Sebastian ; Voigt, Stefan ; Wagner, Wolf ; Walther, Thomas ; Weiss, Patrick ; Wel, Michel van der ; Werner, Ingrid M. ; Westerholm, Joakim ; Westheide, Christian ; Wipplinger, Evert ; Wolf, Michael ; Wolff, Christiaan Cornelis Petrus ; Wolk, Leonard ; Wong, Wing Keung ; Wrampelmeyer, Jan ; Xia, Shuo ; Xiu, Dacheng ; Xu, Ke ; Xu, Caihong ; Yadav, Pradeep ; Yagüe, José ; Yan, Cheng ; Yang, Antti ; Yoo, Woongsun ; Yu, Wenjia ; Yu, Shihao ; Yueshen, Bart Zhou ; Yuferova, Darya ; Zamojski, Marcin ; Zareei, Abalfazl ; Zeisberger, Stefan ; Zhang, Sarah ; Zhang, Xiaoyu ; Zhong, Zhuo ; Zhou, Z. Ivy ; Zhou, Chen ; Zhu, Xingyu Sonya ; Zoican, Marius ; Zwinkels, Remco C. J. ; Chen, Jian ; Duevski, Teodor ; Gao, Ge ; Gemayel, Roland ; Gilder, Dudley ; Kuhle, Paul ; Pagnotta, Emiliano ; Pelli, Michele ; Sönksen, Jantje ; Zhang, Lu ; Ilczuk, Konrad ; Bogoev, Dimitar ; Qian, Ya ; Wika, Hans C. ; Yu, Yihe ; Zhao, Lu ; Mi, Michael ; Bao, Li ; Vaduva, Andreea ; Prokopczuk, Marcel ; Avetikian, Alejandro ; Wu, Zhen-Xing
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.
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