Information Transmission between Financial Markets in Chicago and New York

Gregory Laughlin, Anthony Aguirre, Joseph Grundfest · 2014 · Financial Review

BeginnerHFTEmpiricalFree to read

Measures the Chicago-New York latency race: microwave networks pushed information transmission close to the speed-of-light limit.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: HFT
Data needed: Trades Set what data you have
Themes: HFT & market design
Assets: Index futures, Equities
Market: US

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@article{laughlin2014information, author = {Laughlin, Gregory and Aguirre, Anthony and Grundfest, Joseph}, title = {{Information Transmission between Financial Markets in Chicago and New York}}, journal = {Financial Review}, year = {2014}, doi = {10.1111/fire.12036} }