European Business Schools Librarian's Group

HEC Research Papers Series,
HEC Paris

No 1628: The Price of Exchange Data

Thierry Foucault and Vincent Maurin
Additional contact information
Thierry Foucault: HEC Paris - Finance Department
Vincent Maurin: HEC Paris - Finance Department

Abstract: Exchanges increasingly generate revenues from selling transaction data, in addition to their traditional business of matching traders. Given exchanges' market power over their data, this raises questions about the quality and pricing of these data, and exchanges' contribution to market transparency. We study the optimal design of an exchange that sells both access to its trading platform and transaction data generated by traders' activity. We show that the introduction of a market for transaction data reduces trading fees and increases volume and welfare. Caps on data fees can increase data quality but lower welfare.

Keywords: Exchange Design; Sale of Market Data; Market Transparency

JEL-codes: G10; G14

86 pages, July 10, 2026

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