Quantifying the High-Frequency Trading “Arms Race”
Quantifying the High-Frequency Trading “Arms Race”
Coauthors: Matteo Aquilina and Peter O'NeillThe Quarterly Journal of Economics, (2022): 137, no. 1, 493-564. [PDF]
Abstract
Awards
Winner — WFA 2020 Two Sigma Award for Best Paper on Investment Management
Appendices
Data and Code Appendix
Matteo Aquilina and Peter O'NeillThe Quarterly Journal of Economics, [PDF]
Code
Exchange Message Data Codebook
Code and Detailed Guidebook for researchers, academics and regulators to conduct their own studies using exchange message data.Earlier Version
FCA Occasional Paper landing page with brief summary and links
Coauthors: Matteo Aquilina and Peter O'NeillFinancial Conduct Authority, Occasional Paper No. 50: Quantifying the High-Frequency Trading 'Arms Race'.
[PDF] [All Related Material]
FCA Insight Brief Description of “Quantifying the High-Frequency Trading ‘Arms Race'”
Coauthors: Matteo Aquilina and Peter O'NeillInsight, Big Bucks from Small Change, January 2020.
[PDF] [All Related Material]
UK Financial Conduct Authority Occasional Paper 50
Coauthors: Matteo Aquilina and Peter O'NeillFinancial Conduct Authority, "Quantifying the High-Frequency Trading Arms Race".
[PDF] [All Related Material]
Press Coverage
Money Stuff: Latency Arbitrage
Bloomberg, Matt Levine, Jan 28, 2020 [PDF]FCA Researchers Outline $5bn ‘Tax’ Imposed by High-Speed Trading
Financial Times, Philip Stafford, Jan 27, 2020 [PDF]Ultrafast Trading Costs Stock Investory Nearly $5 Billion a Year, Study Says
Wall Street Journal, Alexander Osipovich, Jan 27, 2020 [PDF]Slides
Seminar slides
[PDF]Video
Quantifying the High-Frequency Trading ‘Arms Race’: A new methodology and estimates
Matteo Aquilina and Peter O'NeillThe Microstructure Exchange, June 16, 2020.