scholarly journals A Limit Order Book Model for Latency Arbitrage

2011 ◽  
Author(s):  
Samuel N. Cohen ◽  
Lukasz Szpruch
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Latency Arbitrage

scholarly journals A limit order book model for latency arbitrage

2012 ◽  
Vol 6 (3) ◽  
pp. 211-227 ◽  
Author(s):  
Samuel N. Cohen ◽  
Lukasz Szpruch
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Latency Arbitrage

scholarly journals Quantifying the High-Frequency Trading “Arms Race”

2021 ◽  
Author(s):  
Matteo Aquilina ◽  
Eric Budish ◽  
Peter O’Neill
Keyword(s):  
High Frequency ◽  
Trading Volume ◽  
Stock Exchange ◽  
Limit Order Book ◽  
Price Impact ◽  
High Frequency Trading ◽  
Order Book ◽  
Limit Order ◽  
The Cost ◽  
Latency Arbitrage

Abstract 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 to observe both winners and losers in a race, whereas in limit order book data you cannot see the losers, so you cannot directly see the races. We find that latency arbitrage races are very frequent (about one per minute per symbol for FTSE 100 stocks), extremely fast (the modal race lasts 5–10 millionths of a second), and account for a remarkably large portion of overall trading volume (about 20%). Race participation is concentrated, with the top six firms accounting for over 80% of all race wins and losses. The average race is worth just a small amount (about half a price tick), but because of the large volumes the stakes add up. Our main estimates suggest that races constitute roughly one-third of price impact and the effective spread (key microstructure measures of the cost of liquidity), that latency arbitrage imposes a roughly 0.5 basis point tax on trading, that market designs that eliminate latency arbitrage would reduce the market’s cost of liquidity by 17%, and that the total sums at stake are on the order of $5 billion per year in global equity markets alone.

Bid- and Ask-Side Liquidity in the NYSE Limit Order Book

2016 ◽  
Author(s):  
Tolga Cenesizoglu ◽  
Gunnar Grass
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order

A Theoretical Model of the Limit Order Book and Some Applications

2006 ◽  
Author(s):  
Joerg Osterrieder
Keyword(s):  
Theoretical Model ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order

scholarly journals Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data

2020 ◽  
Vol 136 ◽  
pp. 183-189 ◽  
Author(s):  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
Alexandros Iosifidis
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Limit Order Book ◽  
Time Series Forecasting ◽  
Order Book ◽  
Limit Order ◽  
Bag Of Features ◽  
Financial Time

The information content of the limit order book: evidence from NYSE specialist trading decisions

2005 ◽  
Vol 8 (1) ◽  
pp. 25-67 ◽  
Author(s):  
Lawrence E. Harris ◽  
Venkatesh Panchapagesan
Keyword(s):  
Information Content ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Specialist Trading ◽  
Trading Decisions

Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets

2021 ◽  
pp. jfds.2021.1.074
Author(s):  
Charles Huang ◽  
Weifeng Ge ◽  
Hongsong Chou ◽  
Xin Du
Keyword(s):  
Limit Order Book ◽  
Benchmark Dataset ◽  
Order Book ◽  
Short Term ◽  
Limit Order

Mid-Price Prediction in a Limit Order Book

2014 ◽  
Author(s):  
Deepan Palguna ◽  
Ilya Pollak
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Price Prediction
Sign in / Sign up

Export Citation Format

Share Document