{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,14]],"date-time":"2026-04-14T11:22:55Z","timestamp":1776165775500,"version":"3.50.1"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":14,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Standard measures of execution quality in financial markets are not mechanism-neutral. Under thecontinuous limit order book (CLOB), queue position is allocated by arrival time, embedding asystematic transfer from slower to faster participants into commonly used metrics such as slippage.We isolate this bias using a controlled dual-engine exchange in which identical order flow isprocessed simultaneously under price-time priority and randomized queue priority. The gap inexecution quality between fast and slow participants declines by 35.6% under randomized priority(0.441 \u2192 0.284 ticks; clustered t = 2.98, p = 0.020), while aggregate slippage is virtually unchanged(Cohen\u2019s d = 0.004). This indicates that more than one-third of the measured speed advantage reflectsthe allocation rule, not price efficiency. We validate this finding in real NASDAQ Level 3 data:arrival time predicts queue rank under CLOB (t = -13.45, p &lt; 0.001) but not under randomizedpriority (t = -0.33, n.s.), confirming that time priority converts latency into queue ownership. Atheoretical framework shows that randomized priority eliminates the marginal return to speedinvestment, collapsing the equilibrium arms race. Our empirical design identifies the mechanicaltransfer embedded in queue allocation; the welfare implications are modeled theoretically but notmeasured<\/jats:p>","DOI":"10.2139\/ssrn.6574208","type":"posted-content","created":{"date-parts":[[2026,4,14]],"date-time":"2026-04-14T09:43:22Z","timestamp":1776159802000},"source":"Crossref","is-referenced-by-count":0,"title":["Random Queue Priority in Continuous Limit Order Books:Evidence from a Large-Scale Controlled Simulation"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"78","reference":[{"issue":"1","key":"ref1","doi-asserted-by":"crossref","first-page":"493","DOI":"10.1093\/qje\/qjab032","article-title":"Quantifying the High-Frequency Trading 'Arms Race","volume":"137","author":"Matteo Aquilina","year":"2022","journal-title":"Quarterly Journal of Economics"},{"issue":"2","key":"ref2","doi-asserted-by":"crossref","first-page":"292","DOI":"10.1016\/j.jfineco.2015.03.004","article-title":"Equilibrium Fast Trading","volume":"116","author":"Bruno Biais","year":"2015","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"ref3","doi-asserted-by":"crossref","first-page":"1547","DOI":"10.1093\/qje\/qjv027","article-title":"The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response","volume":"130","author":"Eric Budish","year":"2015","journal-title":"Quarterly Journal of Economics"},{"issue":"4","key":"ref4","doi-asserted-by":"crossref","first-page":"1209","DOI":"10.1086\/727284","article-title":"A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?","volume":"132","author":"Eric Budish","year":"2024","journal-title":"Journal of Political Economy"},{"issue":"3","key":"ref5","doi-asserted-by":"crossref","first-page":"549","DOI":"10.1287\/opre.1090.0780","article-title":"A Stochastic Model for Order Book Dynamics","volume":"58","author":"Rama Cont","year":"2010","journal-title":"Operations Research"},{"issue":"4","key":"ref6","doi-asserted-by":"crossref","first-page":"1171","DOI":"10.1093\/rfs\/hhi029","article-title":"Limit Order Book as a Market for Liquidity","volume":"18","author":"Thierry Foucault","year":"2005","journal-title":"Review of Financial Studies"},{"issue":"1","key":"ref7","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1016\/0304-405X(85)90044-3","article-title":"Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders","volume":"14","author":"Lawrence R Glosten","year":"1985","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"ref8","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1093\/rfs\/6.1.191","article-title":"Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement","volume":"6","author":"Joel Hasbrouck","year":"1993","journal-title":"Review of Financial Studies"},{"issue":"1","key":"ref9","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.1540-6261.2010.01624.x","article-title":"Does Algorithmic Trading Improve Liquidity?","volume":"66","author":"Terrence Hendershott","year":"2011","journal-title":"Journal of Finance"},{"issue":"6","key":"ref10","doi-asserted-by":"crossref","first-page":"2753","DOI":"10.1111\/j.1540-6261.2006.01004.x","article-title":"Estimating the Gains from Trade in Limit-Order Markets","volume":"61","author":"Hollifield","year":"2006","journal-title":"Journal of Finance"},{"key":"ref11","author":"Ruihong Huang","year":"2011","journal-title":"LOBSTER: Limit Order Book Reconstruction System"},{"issue":"6","key":"ref12","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","article-title":"Continuous Auctions and Insider Trading","volume":"53","author":"Albert S Kyle","year":"1985","journal-title":"Econometrica"},{"key":"ref13","doi-asserted-by":"crossref","first-page":"712","DOI":"10.1016\/j.finmar.2013.06.006","article-title":"High Frequency Trading and the New-Market Makers","volume":"16","author":"Albert J Menkveld","year":"2013","journal-title":"Journal of Financial Markets"},{"issue":"4","key":"ref14","doi-asserted-by":"crossref","first-page":"789","DOI":"10.1093\/rfs\/11.4.789","article-title":"Price Dynamics in Limit Order Markets","volume":"11","author":"Christine A Parlour","year":"1998","journal-title":"Review of Financial Studies"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,4,14]],"date-time":"2026-04-14T09:59:06Z","timestamp":1776160746000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6574208"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":14,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6574208","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}