A limit order book model for latency arbitrage
We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can preempt the slower investor, we show that this allows the fast trader to obtain risk free profits, but that these profits cannot be scaled. We derive...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2012
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