Aquilina, Matteo; Budish, Eric B.; O'Neill, Peter - National Bureau of Economic Research - 2021
arbitrage." The key difference between message data and widely-familiar limit order book data is that message data contain … limit order book data you cannot see the losers, so you cannot directly see the races. We find that latency-arbitrage races …), that latency arbitrage imposes a roughly 0.5 basis point tax on trading, that market designs that eliminate latency …
