Aquilina, Matteo; Budish, Eric B.; O'Neill, Peter - National Bureau of Economic Research - 2021
We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as "latency …-10 millionths of a second), and account for a remarkably large portion of overall trading volume (about 20%). Race participation is …), that latency arbitrage imposes a roughly 0.5 basis point tax on trading, that market designs that eliminate latency …