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Quantifying the high-frequency trading “arms race”

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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.

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Quantifying the high-frequency trading “arms race”

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