Information Transmission between Financial Markets in Chicago and New York

High frequency trading has led to widespread eff orts 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 … Read more

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Editor's Tweet: Stanford Law's Joseph Grundfest discusses Information Transmission between Financial Markets in Chicago and New York