| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29011 |
| 来源ID | Working Paper 29011 |
| Quantifying the High-Frequency Trading \"Arms Race\" | |
| Matteo Aquilina; Eric Budish; Peter O'; Neill | |
| 发表日期 | 2021-07-12 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as “latency arbitrage.” The key difference between message data and widely-familiar limit order book data is that message data contain attempts to trade or cancel that fail. This allows the researcher to observe both winners and losers in a race, whereas in limit order book data you cannot see the losers, so you cannot directly see the races. We find that latency-arbitrage races are very frequent (about one per minute per symbol for FTSE 100 stocks), extremely fast (the modal race lasts 5-10 millionths of a second), and account for a remarkably large portion of overall trading volume (about 20%). Race participation is concentrated, with the top 6 firms accounting for over 80% of all race wins and losses. The average race is worth just a small amount (about half a price tick), but because of the large volumes the stakes add up. Our main estimates suggest that races constitute roughly one-third of price impact and the effective spread (key microstructure measures of the cost of liquidity), that latency arbitrage imposes a roughly 0.5 basis point tax on trading, that market designs that eliminate latency arbitrage would reduce the market's cost of liquidity by 17%, and that the total sums at stake are on the order of $5 billion per year in global equity markets alone. |
| 主题 | Microeconomics ; Market Structure and Distribution ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29011 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586685 |
| 推荐引用方式 GB/T 7714 | Matteo Aquilina,Eric Budish,Peter O',et al. Quantifying the High-Frequency Trading \"Arms Race\". 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29011.pdf（979KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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