Classical economic theory suggests that excess returns should be competed away as new participants enter the market. This is especially true for the profits from riskless arbitrage. Yet, there is conflicting evidence in the financial economic literature over whether high frequency trading (HFT)...

This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500 ETF traded on NASDAQ from January 6, 2009, to December 12, 2011, we find that a delay of 300 milliseconds (1...