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Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements
Abstract
Prices of the highly liquid S&P 500 exchange-traded fund (SPY) and the E-mini future (ES) respond to macroeconomic announcement surprises within five milliseconds, with trading intensity increasing over 100-fold following the news release. However, profits from trading quickly are relatively small, roughly \19,000 ($$50,000) per event for SPY (ES). Although the speed of information incorporation has increased in recent years, profits have...
Paper Details
Title
Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements
Published Date
Mar 28, 2018
Journal
Volume
31
Issue
12
Pages
4650 - 4687