Low-latency trading

Joel Hasbrouck, Gideon Saar · 2013 · Journal of Financial Markets

IntermediateHFTEmpiricalFree to read

Identifies 'strategic runs' of linked messages in NASDAQ order data; more low-latency activity goes with tighter spreads and more depth.

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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: US

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HFT, speed and market design

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Cite

@article{hasbrouck2013latency,
  author = {Hasbrouck, Joel and Saar, Gideon},
  title = {{Low-latency trading}},
  journal = {Journal of Financial Markets},
  year = {2013},
  doi = {10.1016/j.finmar.2013.05.003}
}

Hasbrouck, J., & Saar, G. (2013). Low-latency trading. Journal of Financial Markets. https://doi.org/10.1016/j.finmar.2013.05.003