Construct · 1 fields · 1 citations

latency arbitrage: a standalone construct

One name. One construct. A landmark on the map.

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Market microstructure

profits from reacting faster than others to public signals in continuous limit order markets, which creates a costly speed race and taxes liquidity.

In market microstructure, latency arbitrage refers to profits from reacting faster than others to public signals in continuous limit order markets, which creates a costly speed race and taxes liquidity. This meaning comes from Budish (2015) in The Quarterly Journal of Economics.[1]

Unit
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Nearby constructs

arbitrage3 fields · 3 citationsjingle · one word, three constructs latency4 fields · 4 citationsjingle · one word, four constructs limit3 fields · 3 citationsjingle · one word, three constructs

References

Budish, E., Cramton, P., & Shim, J. (2015). The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response. The Quarterly Journal of Economics, 130(4), 1547-1621. https://doi.org/10.1093/qje/qjv027

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