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  • Search: subject:"latency arbitrage"
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Year of publication
Subject
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Electronic trading 16 Elektronisches Handelssystem 16 Arbitrage 13 Latency arbitrage 11 Securities trading 9 Wertpapierhandel 9 High-frequency trading 7 Bid-ask spread 6 Geld-Brief-Spanne 6 high-frequency trading 6 latency arbitrage 6 Liquidity 5 Theorie 5 Theory 5 Arbitrage Pricing 4 Arbitrage pricing 4 Liquidität 4 Aktienmarkt 3 Börsenhandel 3 Derivat 3 Derivative 3 Dual listing 3 Estimation 3 Hedging 3 International financial market 3 Internationaler Finanzmarkt 3 London 3 Market liquidity 3 Marktliquidität 3 Schätzung 3 Stock exchange trading 3 Stock market 3 Zweitlisting 3 Auction 2 Auction theory 2 Auktion 2 Auktionstheorie 2 Börsenkurs 2 Devisenmarkt 2 FTSE 2
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Online availability
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Free 11 Undetermined 6 CC license 1
Type of publication
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Article 11 Book / Working Paper 7
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Working Paper 7 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6
Language
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English 18
Author
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Aquilina, Matteo 5 O'Neill, Peter 5 Budish, Eric B. 3 Dionne, Georges 3 Poutré, Cédric 3 Yergeau, Gabriel 3 Eibelshäuser, Steffen 2 Foley, Sean 2 Ruf, Thomas 2 Smetak, Fabian 2 Bartlett, Robert 1 Brolley, Michael 1 Cartea, Álvaro 1 Ibikunle, Gbenga 1 Jaimungal, Sebastian 1 Kuhle, Wolfgang 1 Le Moign, Caroline 1 McCrary, Justin 1 Nimalendran, Mahendrarajah 1 Rzayev, Khaladdin 1 Sagade, Satchit 1 Stevenson, John 1 Walton, Jamie 1 Zhang, Zeyu 1 Zoican, Marius 1
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Institution
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National Bureau of Economic Research 1
Published in...
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International review of financial analysis 2 Journal of financial markets 2 Working papers / Bank for International Settlements 2 CIRRELT 1 Financial innovation : FIN 1 Journal of economic dynamics & control 1 Journal of financial economics 1 Journal of governance and regulation : international scientific journal 1 Journal of international financial markets, institutions & money 1 Mathematics and financial economics 1 NBER working paper series 1 SAFE Working Paper 1 SAFE working paper 1 The quarterly journal of economics 1 Working papers 1
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Source
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ECONIS (ZBW) 17 EconStor 1
Showing 11 - 18 of 18
Cover Image
International high-frequency arbitrage for cross-listed stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2021
Persistent link: https://www.econbiz.de/10012592176
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Quantifying the High-Frequency Trading "Arms Race"
Aquilina, Matteo; Budish, Eric B.; O'Neill, Peter - National Bureau of Economic Research - 2021
limit order book data you cannot see the losers, so you cannot directly see the races. We find that latency-arbitrage races …), that latency arbitrage imposes a roughly 0.5 basis point tax on trading, that market designs that eliminate latency …We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as "latency …
Persistent link: https://www.econbiz.de/10012599301
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The market quality effects of sub-second frequent batch auctions : evidence from dark trading restrictions
Zhang, Zeyu; Ibikunle, Gbenga - In: International review of financial analysis 89 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014465106
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Liquid speed : a micro-burst fee for low-latency exchanges
Brolley, Michael; Zoican, Marius - In: Journal of financial markets 64 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014466067
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International high-frequency arbitrage for cross-listed stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - In: International review of financial analysis 89 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014467063
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How rigged are stock markets? : evidence from microsecond timestamps
Bartlett, Robert; McCrary, Justin - In: Journal of financial markets 45 (2019), pp. 37-60
Persistent link: https://www.econbiz.de/10012317446
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Foreign exchange markets with Last Look
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie - In: Mathematics and financial economics 13 (2019) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012055750
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The value of millisecond expiry options in spot foreign exchange markets
Stevenson, John - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 85-89
Persistent link: https://www.econbiz.de/10011673807
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