Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements
Sign Up to like & getrecommendations! Published in 2018 at "Review of Financial Studies"
DOI: 10.1093/rfs/hhy025
Abstract: Prices of the highly liquid S&P500 exchange traded fund (SPY) and the E-mini future (ES) respond to macroeconomic announcement surprises within five milliseconds, with trading intensity increasing over a hundred-fold following the news release. However,… read more here.
Keywords: traders evidence; latency; latency traders; seeking low ... See more keywords