On Market Design and Latency Arbitrage

Wolfgang Kuhle

Papers from arXiv.org

Abstract: We argue that contemporary stock market designs are, due to traders' inability to fully express their preferences over the execution times of their orders, prone to latency arbitrage. In turn, we propose a new order type which allows traders to specify the time at which their orders are executed after reaching the exchange. Using this order type, traders can synchronize order executions across different exchanges, such that high-frequency traders, even if they operate at the speed of light, can no-longer engage in latency arbitrage.

Date: 2021-12
New Economics Papers: this item is included in nep-des and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2202.00127

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