EconPapers    
Economics at your fingertips  
 

International High-Frequency Arbitrage for Cross-Listed Stocks

Cédric Poutré (), Georges Dionne and Gabriel Yergeau ()
Additional contact information
Cédric Poutré: Université de Montréal
Gabriel Yergeau: HEC Montreal, Canada Research Chair in Risk Management

No 21-4, Working Papers from HEC Montreal, Canada Research Chair in Risk Management

Abstract: We explore mean-reverting arbitrage activities for international cross-listed stocks and develop a methodology to study the effect of information latency in high-frequency trading. The high-frequency strategy is a hybrid between triangular arbitrage and pairs trading. The strategy can be generalized to multiple cross-listed stocks environments without additional restrictions. Market frictions such as trade costs, inventory control, and arbitrage risks are considered. We test the strategy with cross-listed stocks involving three exchanges in Canada and the United States in 2019. The annual net profit with the limit order strategy is around US$6 million. International latency arbitrage with market orders is not profitable with our data.

Keywords: Latency arbitrage; high-frequency trading; cross-listed stocks; mean-reverting arbitrage; international arbitrage; supervised machine learning (search for similar items in EconPapers)
JEL-codes: G02 G10 G11 G14 G15 G22 (search for similar items in EconPapers)
Pages: 90 pages
Date: 2021-07-20, Revised 2022-03-15
New Economics Papers: this item is included in nep-cmp, nep-cwa and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://chairegestiondesrisques.hec.ca/wp-content/uploads/2022/03/21-04.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:crcrmw:2021_004

Access Statistics for this paper

More papers in Working Papers from HEC Montreal, Canada Research Chair in Risk Management Contact information at EDIRC.
Bibliographic data for series maintained by Claire Boisvert ().

 
Page updated 2023-02-06
Handle: RePEc:ris:crcrmw:2021_004