Quantifying the High-Frequency Trading "Arms Race"
收藏NBER2021-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w29011
下载链接
链接失效反馈官方服务：
资源简介：
We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as latency arbitrage. The key difference between message data and widely-familiar limit order book data is that message data contain attempts to trade or cancel that fail. This allows the researcher
提供机构：
美国国家经济研究局
创建时间：
2021-07-01
