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Latency arbitrage when markets become faster
Hollifield, Burton; Sandås, Patrik; Todd, Andrew - 2017
We measure the incidence of latency arbitrage for cross-listed stocks around the time of an exogenous shock that made … markets. We document a sharp decline in the incidence of cross-market arbitrage opportunities across the Nordic markets for … cross-listed stocks from 2009 to 2010 and later. Over the five year sample period 77% of the observed cross-market arbitrage …
Persistent link: https://www.econbiz.de/10011657416
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The Profitability of Lead-Lag Arbitrage at High-Frequency
Poutré, Cédric; Dionne, Georges; yergeau, gabriel - 2022
from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead … arbitrage opportunities. The framework is then evaluated on six months of DAX 30 cross-listed stocks’ LOB data obtained from …
Persistent link: https://www.econbiz.de/10014239339
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A tale of two cities : inter-market latency and fast-trader competition
Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024 - This version: July 10, 2024
We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...
Persistent link: https://www.econbiz.de/10015065826
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Preserving Capital Markets Efficiency in the High-Frequency Trading Era
Balp, Gaia - 2018
market-moving information that allows for latency arbitrage and trading ahead of other investors, which can discourage …
Persistent link: https://www.econbiz.de/10012930881
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Fast trading and the virtue of entropy : evidence from the foreign exchange market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019
Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...
Persistent link: https://www.econbiz.de/10012037341
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Electronic trading in OTC markets vs. centralized exchange
Liu, Ying; Vogel, Sebastian; Zhang, Yuan - 2017
We model a two-tiered market structure in which an investor can trade an asset on a trading platform with a set of dealers who in turn have access to an interdealer market. The investor's order is informative about the asset's payoff and dealers who were contacted by the investor use this...
Persistent link: https://www.econbiz.de/10011877487
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Have financial markets become more informative?
Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2012
The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...
Persistent link: https://www.econbiz.de/10009657611
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Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]
Becke, Susanne von der; Sornette, Didier - 2011
Persistent link: https://www.econbiz.de/10009561750
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Speed of Convergence to Market Efficiency : The Role of ECNs
Hrazdil, Karel - 2012
Chordia, Roll and Subrahmanyam (2005, CRS) estimate the speed of convergence to market efficiency based on short-horizon return predictability of the 150 largest NYSE firms. We extend CRS to a broad panel of NYSE stocks and are the first to examine the relation between electronic communication...
Persistent link: https://www.econbiz.de/10013115246
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Weakly Inefficient Markets : Stability of High-Frequency Trading Strategies
Esipov, Sergei - 2012
Market participants who capitalize on high-frequency price dynamics and rely on automated trading are responsible, along with market makers, for the observed level of market efficiency. The remaining inefficiency is usually measured as the ratio of expected P&L, derived from the price signals,...
Persistent link: https://www.econbiz.de/10013115753