Quantifying the High-Frequency Trading "Arms Race"

Matteo Aquilina, Eric Budish, Peter O'Neill · 2022 · The Quarterly Journal of Economics

IntermediateHFTEmpiricalFree to read

Exchange message data from the LSE shows latency races are frequent, last microseconds and impose a measurable tax on liquidity.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L3/MBO (order-level) Set what data you have
Themes: HFT & market design
Assets: Equities
Market: Europe

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Cite

@article{aquilina2022quantifying,
  author = {Aquilina, Matteo and Budish, Eric and O'Neill, Peter},
  title = {{Quantifying the High-Frequency Trading "Arms Race"}},
  journal = {The Quarterly Journal of Economics},
  year = {2022},
  doi = {10.1093/qje/qjab032}
}

Aquilina, M., Budish, E., & O'Neill, P. (2022). Quantifying the High-Frequency Trading "Arms Race". The Quarterly Journal of Economics. https://doi.org/10.1093/qje/qjab032