Kuhle, Wolfgang - In: Financial innovation : FIN 9 (2023) 1, pp. 1-18
, contemporary stock market designs are prone to latency arbitrage. In turn, we propose a new order type, which allows traders to … specify the time at which their orders are executed after reaching the exchange. Using recent latency data, we demonstrate …-frequency traders, even if they operate at the speed of light, can no-longer engage in latency arbitrage. …