Quantifying the High-Frequency Trading "Arms Race"
收藏NBER2021-07-01 更新2025-01-04 收录
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https://www.nber.org/papers/w29011
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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
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美国国家经济研究局创建时间：
2021-07-01
