•Derive optimal timing strategy for investing in high frequency trading technology. •Equilibrium level and market socially optimal level of fast trading are determined. •Unique investment cost such that equilibrium and socially optimal level coincide. •High cost leads to under investment in equilibrium relative to social optimality. •Low cost leads to over investment in equilibrium relative to social optimality.
European Journal of Operational Research – Elsevier
Published: Oct 1, 2018
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