High frequency trading has led to widespread efforts to reduce information propagation delays between physically distant exchanges.  In my recent paper Information Transmission between Financial Markets in Chicago and New York, co-authored with Gregory Laughlin and Anthony Aguirre of UC Santa Cruz, we use relativistically correct millisecond-resolution tick data to document a 3-millisecond decrease in one-way communication time between the Chicago and New York areas that occurred from April 27th, 2010 to August 17th, 2012. We attribute the first segment of this decline to the introduction of a latency-optimized fiber optic connection in late 2010. A second phase of latency decrease can be attributed to line-of-sight microwave networks, operating primarily in the 6-11 GHz region of the spectrum, licensed during 2011 and 2012. Using publicly available information, we estimate these networks’ latencies and bandwidths. We estimate the total infrastructure and 5-year operations costs associated with these latency improvements to exceed $500 million.

The full paper is available here.