온라인 증권 거래에 있어서 통신 네트워크간의 전송 지연 차이에 따른 불공평성에 대한 확률적 분석

In current trading environments using wireless and wired computer networks, transmission delay could be an important source of the latency between a trading decision and the resulting trade execution. The investors, however, are hardly aware of this latency and how unfair it could be in trading. In this paper, unfairness due to the network latency is modeled and investigated with a probabilistic approach. When hypothetical bid-size Q is given, we investigate how many effective number of orders arrive from the different networks that suffer form different latency. The number of effective orders is a random variable and depends on the relative latency, the probability mass function of which is achieved in closed-form in this paper. We also propose a fairness index based on the number of effective orders and illustrate how to obtain the value in practice using Internet protocol. Though we cannot verify the result in this paper with actual transaction data, the probability model and the result in this paper will help the ordinary investors understand how the network latency affects the trade.