Georgetown's Angel Issues White Paper on Market Data Landscape

Traders Magazine Online News, October 24, 2018

James Angel

Market structure is big news this year - both in the marketplace and academia.

James Angel, Associate Professor of Finance at Georgetown University's McDonough School of Business and a highly respected authority on market structure recently completed a study of the current market data situation. Angel shared with Traders Magazine his conclusions - primarily that market data businesses run by the exchanges are a benefit to individual investors. 

You can find the complete paper here

Key points:

• SIP data are extremely valuable and reduce investors transactions costs. 
• The price of SIP data is extremely low compared to the benefits to investors. Without access to the data disseminated by the SIP, transaction costs would jump by billions of dollars.
• The cost of a SIP of data to the individual investor, 17 cents a month, is about the same as a sip of Starbucks.
• The real nonprofessional price of real-time professional trade and quote data has fallen 96.3% since 1987.   
• Cost allocation is difficult due to the problem of allocating high fixed costs to the jointly produced services of trading, regulation, and market data.
• The SIPs are the low-cost producers of consolidated data.
• Individual investors pay a miniscule small fraction of SIP costs.
• SIP capacity has increased sharply while latency has dropped 99.7% since 2010.
• SIP revenues allocated to the exchanges have fallen 23.7% since 2007.
• SIP costs are a very small fraction of overall brokerage costs and profits.

 

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