The Cost of Latency in High-Frequency Trading

Ciamac C. Moallemi, Mehmet Sağlam · 2013 · Operations Research

IntermediateHFTTheory

Puts a number on what latency costs a trader using limit orders, and shows how that cost scales with volatility.

Read the paper ↗

At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: None to read it; no dataset required Set what data you have
Themes: HFT & market design Execution
Assets: Equities
Market: Global

Your notes

Report a problem with this entry

Cite

@article{moallemi2013cost,
  author = {Moallemi, Ciamac C. and Sağlam, Mehmet},
  title = {{The Cost of Latency in High-Frequency Trading}},
  journal = {Operations Research},
  year = {2013},
  doi = {10.1287/opre.2013.1165}
}

Moallemi, C. C., & Sağlam, M. (2013). The Cost of Latency in High-Frequency Trading. Operations Research. https://doi.org/10.1287/opre.2013.1165