Order-Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays

Latency delays intentionally slow order execution at an exchange, often to protect market makers against latency arbitrage. We study informed trading in a fragmented market in which one exchange introduces a latency delay on market orders. Liquidity improves at the delayed exchange as informed investors emigrate to the conventional exchange, where liquidity worsens. In aggregate, implementing a latency delay worsens total expected welfare. We find that the impact on price discovery depends on the relative abundance of speculators. If the exchange with delay technology competes against a conventional exchange, it implements a delay only if it has sufficiently low market share.

Time-of-day Control Double-Order Optimization of Traffic Safety and Data-Driven Intersections

This paper proposes a novel two-order optimization model of the division of time-of-day control segmented points of road intersection to address the limitations of the randomness of artificial experience, avoid the complex multi-factor division calculation, and optimize the traditional model over traffic safety and data-driven methods. For the first-order optimization—that is, deep optimization of the model input data—we first increase the dimension of traditional traffic flow data by data-driven and traffic safety methods, and develop a vector quantity to represent the size, direction, and time frequency with conflict point traffic of the total traffic flow at a certain intersection for a period by introducing a 3D vector of intersection traffic flow. Then, a time-series segmentation algorithm is used to recurse the distance amongst adjacent vectors to obtain the initial scheme of segmented points, and the segmentation points are finally divided by the combination of the preliminary scheme. For the second-order optimization—that is, model adaptability analysis—the traffic flow data at intersections are subjected to standardised processing by five-number summary. The different traffic flow characteristics of the intersection are categorised by the K central point clustering algorithm of big data, and an applicability analysis of each type of intersection is conducted by using an innovated piecewise point division model. The actual traffic flow data of 155 intersections in Yuecheng District, Shaoxing, China, in 2016 are tested. Four types of intersections in the tested range are evaluated separately by the innovated piecewise point division model and the traditional total flow segmentation model on the basis of Synchro 7 simulation software. It is shown that when the innovated double-order optimization model is used in the intersection according to the ‘hump-type’ traffic flow characteristic, its control is more accurate and efficient than that of the traditional total flow segmentation model. The total delay time is reduced by approximately 5.6%. In particular, the delay time in the near-peak-flow buffer period is significantly reduced by approximately 17%. At the same time, the traffic accident rate has also dropped significantly, effectively improving traffic safety at intersections.