Cinnober presents new market model
(Thomson Reuters ONE) -
Adaptive Micro Auctions provide efficient price discovery, insensitive to
differentiated access among market participants in terms of latency
In a white paper published today, Cinnober-leading independent provider of
marketplace and clearing technology-presents a new innovative market model based
on a concept called Adaptive Micro Auction (AMA). The AMA model is an
alternative to continous trading for market operators that want to create a
level playing field among all market participants, regardless of what latency
conditions they are working with.
Adaptive Micro Auctions are repeated very short-lived auctions-measured in
milliseconds (ms)-that can be used to provide an efficient price discovery
process that is insensitive to differentiated access among market participants
in terms of latency. The AMAs are dynamically adjusted in length to be as short
as possible while still providing all market participants equal ability to act
on new information.
"We believe there is an opportunity for some marketplaces to differentiate
themselves with a whole new approach, and by this attract customers who
otherwise would direct much of their liquidity to dark pools", said Jan Arpi,
CEO of Cinnober. "In the wake of deregulation and with the rise of high
frequency trading, we've seen new challenges for some types of investors. While
we offer door-to-door latency down to low micro seconds in our trading system,
we believe there are more ways than speed for marketplaces to compete. The AMA
model creates a market in which focus is on efficient price discovery."
AMAs utilize the efficient price discovery mechanism inherrent in traditional
auctions and combine it with near-immediate execution. By using the auction
procedure, liquidity is concentrated in time: all orders in the auction are
executed at once at a single equilibrum price. This helps decrease the number of
trades generated by a large order and improves liquidity in today's otherwise
fragmented equity markets.
The AMA model also protects the holder of an order from information leakage and
from being outrun by ultra fast HFTs. The AMAs can be set to only distribute the
equilibrum price to the market, and since all participants are given time to
react to new orders, having the fastest access (lowest latency) isn't an
advantage in this model.
The Adaptive Micro Auction model is part of the latest version of Cinnober's
TRADExpress Trading System. More information can be found in the white paper
Using Adaptive Micro Auctions to provide efficient price discovery when access
in terms of latency is differentiated among market participants that can be
downloaded at www.cinnober.com.
For further information, please contact:
Jan Arpi Lars-Ivar Sellberg
CEO, Cinnober Financial Technology AB Product Manager, Cinnober Financial
Tel. +46 70 860 46 49 Technology AB
Tel. +46 73 347 87 10
About Cinnober Financial Technology AB
Cinnober provides mission-critical solutions and services to leading trading and
clearing venues. All Cinnober's solutions are base on the TRADExpress(TM)
Platform incorporating everything needed for mission-critical solutions in terms
of performance, robustness and flexibility. Cinnober's portfolio of offerings
include price discovery and matching, real-time risk management, clearing and
settlement, data distribution and surveillance. Cinnober's customers include:
Alpha Trading Systems, Borsa Italiana, Burgundy, Chicago Board Options Exchange,
EDX London, Hong Kong Mercantile Exchange, London Metal Exchange, Markit BOAT,
NYSE Liffe and Quadriserv.
For additional information, please visitwww.cinnober.com.
[HUG#1453394]
Press release (PDF):
http://hugin.info/139660/R/1453394/393936.pdf
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Source: Cinnober via Thomson Reuters ONE
Unternehmensinformation / Kurzprofil:
Datum: 20.10.2010 - 10:10 Uhr
Sprache: Deutsch
News-ID 45930
Anzahl Zeichen: 0
contact information:
Town:
Stockholm
Kategorie:
Business News
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"Cinnober presents new market model"
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