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How do the lengths of the lead lag time between stocks evolve? : tick-by-tick level measurements across two decades
Anderson, Bing - In: Journal of banking and financial economics 18 (2022) 2, pp. 49-59
There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between stocks. If the answer is affirmative, and the lengths...
Persistent link: https://www.econbiz.de/10014285876
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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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Latency Arbitrage and Frequent Batch Auctions
Zhang, Zeyu; Ibikunle, Gbenga - 2022
We investigate the relationship between latency arbitrage and trading via frequent batch auctions (FBA). We show that … increases in single and cross-market latency arbitrage opportunities (LAOs) are linked to an economically meaningful increase in …
Persistent link: https://www.econbiz.de/10013306667
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Computerized and High-Frequency Trading
Goldstein, Michael A. - 2014
The use of computers to execute trades, often with very low latency, has increased over time, resulting in a variety of computer algorithms executing electronically targeted trading strategies at high speed. We describe the evolution of increasingly fast automated trading over the past decade...
Persistent link: https://www.econbiz.de/10013060754
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Arbitrage Opportunities on the ODAX Options Market : A High-Frequency Analysis
Ardia, David - 2018
This article analyses the arbitrage opportunities on the ODAX options market in an intra-daily framework. Tests are …
Persistent link: https://www.econbiz.de/10012940705
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Spot Arbitrage in FX Market and Algorithmic Trading : Speed is Not of the Essence
Mahmoodzadeh, Soheil - 2020
pairs. To the contrary, algorithmic traders contribute to the creation of arbitrage opportunities as a byproduct of … barriers to the creation of arbitrage opportunities, which explains the reduced occurrence of arbitrage opportunities …
Persistent link: https://www.econbiz.de/10012853730
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High-Frequency Arbitrage and Market Illiquidity
Moise, Claudia E. - 2021
During times of market stress, arbitrage capital cannot be timely deployed, and assets trade away from fundamentals …
Persistent link: https://www.econbiz.de/10013249955
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Judgement day : algorithmic trading around the Swiss franc cap removal
Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2018
A key issue raised by the rapid growth of computerised algorithmic trading is how it responds in extreme situations. Using data on foreign exchange orders and transactions that includes identification of algorithmic trading, we find that this type of trading contributed to the deterioration of...
Persistent link: https://www.econbiz.de/10011906367
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Liquidity Suppliers and High Frequency Trading
Jarrow, Robert A. - 2013
This paper provides a mathematical analysis of how high frequency traders profi t from their speed with respect to the limit order book. We show that their pro ts can be decomposed into two components. The rest is due to their ability to execute market orders at limit order prices and without...
Persistent link: https://www.econbiz.de/10013071783