What's in a price? Measuring the value of exchange data fees

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionpeer-review


This paper presents empirical estimates of the value of data-feeds from individual marketplaces in the trading of Canadian equities. These estimates are then contrasted with the actual fees charged by the marketplaces and an international comparison is made. We find that some marketplaces charge in excess of the 'fair' fee representing their contribution to price discovery. Further, we analyze how different metrics which are used by organizations such as the US Securities Information Processor can be manipulated to alter the distribution of revenues. The results of our analysis are useful not only to exchanges participating within a revenue sharing model, but also to regulators requiring a methodology by which to assess the value of the data sold by their national exchanges or when considering the imposition of a regulatory regime, and by market participants concerned about the fees they are charged for access to such data.
Original languageEnglish
Title of host publicationFMCG 2012
Subtitle of host publication3rd Financial Markets & Corporate Governance Conference
Number of pages34
Publication statusPublished - 2012
Externally publishedYes
Event3rd Financial Management & Corporate Governance Conference 2012: 3rd FMCG 2012 - , United States
Duration: 6 Jun 2012 → …


Conference3rd Financial Management & Corporate Governance Conference 2012
Abbreviated titleFMCG 2012
Country/TerritoryUnited States
Period6/06/12 → …


  • data fees
  • prices
  • marketplaces
  • data access


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