Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs

Andriy Shkilko, Konstantin Sokolov · 2020 · The Journal of Finance

IntermediateHFTEmpiricalFree to read

When rain disrupts microwave links and removes the speed edge, adverse selection falls and liquidity improves.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: Trades, L1 quotes 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{shkilko2020every,
  author = {Shkilko, Andriy and Sokolov, Konstantin},
  title = {{Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs}},
  journal = {The Journal of Finance},
  year = {2020},
  doi = {10.1111/jofi.12969}
}

Shkilko, A., & Sokolov, K. (2020). Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs. The Journal of Finance. https://doi.org/10.1111/jofi.12969