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- W2253313502 abstract "In this study, I examine the prevalence of latency arbitrage opportunities that arise due to the fragmentation of trading across multiple exchanges. I analyze order and quote data from the U.S. Securities and Exchange Commission's Market Information Data Analytics System (MIDAS), which aggregates consolidated feeds and direct proprietary feeds from each U.S. stock exchange. This paper provides evidence that high-frequency traders have numerous opportunities to realize profits from latency arbitrage. These opportunities are significantly more prevalent in larger stocks and on certain exchanges. I estimate that total potential profit from latency arbitrage opportunities in S&P 500 ticker symbols was approximately $3.03 billion in 2014." @default.
- W2253313502 created "2016-06-24" @default.
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- W2253313502 date "2016-01-01" @default.
- W2253313502 modified "2023-10-14" @default.
- W2253313502 title "How Prevalent and Profitable are Latency Arbitrage Opportunities on U.S. Stock Exchanges?" @default.
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- W2253313502 doi "https://doi.org/10.2139/ssrn.2729109" @default.
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