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Sharks in the dark: quantifying HFT dark pool latency arbitrage

Aquilina, Matteo; Foley, Sean; O'Neill, Peter; Ruf, Thomas - 2023

Persistent link: https://www.econbiz.de/10014322495

Foreign exchange markets with Last Look

Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie - In: Mathematics and financial economics 13 (2019) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10012055750

Latency arbitrage and the synchronized placement of orders

Kuhle, Wolfgang - In: Financial innovation : FIN 9 (2023) 1, pp. 1-18

, contemporary stock market designs are prone to latency arbitrage. In turn, we propose a new order type, which allows traders to …-frequency traders, even if they operate at the speed of light, can no-longer engage in latency arbitrage. …

Persistent link: https://www.econbiz.de/10014363975

Liquid speed : a micro-burst fee for low-latency exchanges

Brolley, Michael; Zoican, Marius - In: Journal of financial markets 64 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014466067

Into the light : dark pool trading and intraday market quality on the primary exchange

Brugler, James - 2015

Persistent link: https://www.econbiz.de/10011402702

Diving into dark pools

Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M. - 2022

This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for liquidity. For a given stock, dark...

Persistent link: https://www.econbiz.de/10012816610