Statistikk › Intraday og markedsmikrostruktur › Latency arbitrage
Latency races happen once a minute per large stock and cost 0.42 basis points of volume
| Mål | Verdi |
|---|---|
| Races a day, large company shares | about 537, roughly one a minute |
| Races a day, mid cap shares | about 70 |
| Total races a day across the sample | about 71,000 |
| Race duration | mean 79, median 46, mode 5 to 10 microseconds |
| Share of large cap volume occurring in races | about 22% |
| The same for mid caps | about 17% |
| Tax as a share of total volume | 0.42 basis points |
| As a share of non race volume | 0.53 basispunkter |
| Race trading share of price impact | about 31% |
| Race trading share of the effective spread | about 33% |
| Implied cut in the cost of liquidity if eliminated | about 17% |
From exchange message data on all shares in a 350 constituent index across 43 trading days between 17 August and 16 October 2015. The paper reports standard deviations, percentiles and fit measures, and no standard errors, confidence intervals or formal significance tests for any headline estimate.
On 43 days of exchange message data, large company shares had about 537 latency races a day each, lasting a mean of 79 microseconds. The implied tax is 0.42 basis points of total volume against an effective spread of just over three.
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