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    Original URL path: https://qje.oxfordjournals.org/external-ref?tag_url=http:/qje.oxfordjournals.org/cgi/content/long/130/4/1547&title=The%20High-Frequency%20Trading%20Arms%20Race%3A%20Frequent%20Batch%20Auctions%20as%20a%20Market%20Design%20Response+--+Budish%20et%20al.%20130%20%284%29%3A%201547+--+qje&doi=10.1093/qje/qjv027&link_type=GOOGLEPLUS&log_only=yes (2016-02-18)
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  • The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
    are multiplied by 10 to reflect that SPY tracks mml math display inline mml mrow mml mfrac mml mn 1 mml mn mml mrow mml mn 10 mml mn mml mrow mml mfrac mml mrow mml math 110 the S P 500 Index Note that there is a difference in levels between the two financial instruments due to differences in cost of carry dividend exposure and ETF tracking error for details see Section V B For details regarding the data see Section IV This Article First published online July 23 2015 doi 10 1093 qje qjv027 Quarterly Journal of Economics November 1 2015 vol 130 no 4 1547 1621 Abstract Free Full Text HTML Free Full Text PDF Supplementary Data Search this journal Advanced Current Issue November 2015 130 4 Alert me to new issues The Journal About the journal Rights permissions We are mobile find out more Journals Career Network Click here to contact the Editorial Office Editorial Office Trina Ott Assistant Editor 1805 Cambridge Street Cambridge MA 02138 617 496 3293 qje admin editorialexpress com Published on behalf of President and Fellows of Harvard University Impact Factor 6 654 5 Yr impact factor 9 794 Editors Pol Antràs Robert J Barro Lawrence F Katz Andrei Shleifer View full editorial board Assistant Editor Trina Ott Alerting Services Email table of contents Email Advance Access CiteTrack XML RSS feed For Authors Services for authors Instructions to authors Submit now Self archiving policy for authors P56qQ0myhZIZ9qtHtIIeI0jcYDo8lVt6 true Looking for your next opportunity Looking for jobs Corporate Services What we offer Advertising sales Reprints Supplements Most Most Read The Impact of Jury Race in Criminal Trials The High Frequency Trading Arms Race Frequent Batch Auctions as a Market Design Response Where is the land of Opportunity The Geography of Intergenerational Mobility in

    Original URL path: https://qje.oxfordjournals.org/content/130/4/1547/F1.expansion.html (2016-02-18)
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  • The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
    2011 for that particular return time interval The dotted lines represent the minimum and maximum correlations over all trading days in 2011 for that particular return time interval Panel A shows a range of time intervals from 1 to 60 000 milliseconds ms or 60 seconds Panel B shows that same picture but zoomed in on the interval from 1 to 100 ms For more details on the data refer to Section IV This Article First published online July 23 2015 doi 10 1093 qje qjv027 Quarterly Journal of Economics November 1 2015 vol 130 no 4 1547 1621 Abstract Free Full Text HTML Free Full Text PDF Supplementary Data Search this journal Advanced Current Issue November 2015 130 4 Alert me to new issues The Journal About the journal Rights permissions We are mobile find out more Journals Career Network Click here to contact the Editorial Office Editorial Office Trina Ott Assistant Editor 1805 Cambridge Street Cambridge MA 02138 617 496 3293 qje admin editorialexpress com Published on behalf of President and Fellows of Harvard University Impact Factor 6 654 5 Yr impact factor 9 794 Editors Pol Antràs Robert J Barro Lawrence F Katz Andrei Shleifer View full editorial board Assistant Editor Trina Ott Alerting Services Email table of contents Email Advance Access CiteTrack XML RSS feed For Authors Services for authors Instructions to authors Submit now Self archiving policy for authors P56qQ0myhZIZ9qtHtIIeI0jcYDo8lVt6 true Looking for your next opportunity Looking for jobs Corporate Services What we offer Advertising sales Reprints Supplements Most Most Read The Impact of Jury Race in Criminal Trials The High Frequency Trading Arms Race Frequent Batch Auctions as a Market Design Response Where is the land of Opportunity The Geography of Intergenerational Mobility in the United States The Employment Effects of Credit Market Disruptions

    Original URL path: https://qje.oxfordjournals.org/content/130/4/1547/F2.expansion.html (2016-02-18)
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  • The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
    2011 Each line depicts the median correlation over all trading days in a particular year taken over each return time interval from 1 to 100 milliseconds For 2005 2008 the CME data is only at 10 milliseconds resolution so we compute the median correlation for each multiple of 10 milliseconds and then fit a cubic spline For more details on the data refer to Section IV This Article First published online July 23 2015 doi 10 1093 qje qjv027 Quarterly Journal of Economics November 1 2015 vol 130 no 4 1547 1621 Abstract Free Full Text HTML Free Full Text PDF Supplementary Data Search this journal Advanced Current Issue November 2015 130 4 Alert me to new issues The Journal About the journal Rights permissions We are mobile find out more Journals Career Network Click here to contact the Editorial Office Editorial Office Trina Ott Assistant Editor 1805 Cambridge Street Cambridge MA 02138 617 496 3293 qje admin editorialexpress com Published on behalf of President and Fellows of Harvard University Impact Factor 6 654 5 Yr impact factor 9 794 Editors Pol Antràs Robert J Barro Lawrence F Katz Andrei Shleifer View full editorial board Assistant Editor Trina Ott Alerting Services Email table of contents Email Advance Access CiteTrack XML RSS feed For Authors Services for authors Instructions to authors Submit now Self archiving policy for authors P56qQ0myhZIZ9qtHtIIeI0jcYDo8lVt6 true Looking for your next opportunity Looking for jobs Corporate Services What we offer Advertising sales Reprints Supplements Most Most Read The Impact of Jury Race in Criminal Trials The High Frequency Trading Arms Race Frequent Batch Auctions as a Market Design Response Where is the land of Opportunity The Geography of Intergenerational Mobility in the United States The Employment Effects of Credit Market Disruptions Firm level Evidence from the 2008 9

    Original URL path: https://qje.oxfordjournals.org/content/130/4/1547/F3.expansion.html (2016-02-18)
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  • The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
    daily profits all exchanges 306 k 27 k 39 k 75 k 128 k 218 k 756 k 2 333 k ES initiated 88 56 good arbs 99 99 buy vs sell 49 77 Notes This table shows the mean and various percentiles of arbitrage variables from the mechanical trading strategy between the E mini S P 500 future ES and the SPDR S P 500 ETF SPY described in Section V B and Online Appendix A 2 1 The data described in Section IV cover January 2005 to December 2011 Variables are described in the text of Section V B This Article First published online July 23 2015 doi 10 1093 qje qjv027 Quarterly Journal of Economics November 1 2015 vol 130 no 4 1547 1621 Abstract Free Full Text HTML Free Full Text PDF Supplementary Data Search this journal Advanced Current Issue November 2015 130 4 Alert me to new issues The Journal About the journal Rights permissions We are mobile find out more Journals Career Network Click here to contact the Editorial Office Editorial Office Trina Ott Assistant Editor 1805 Cambridge Street Cambridge MA 02138 617 496 3293 qje admin editorialexpress com Published on behalf of President and Fellows of Harvard University Impact Factor 6 654 5 Yr impact factor 9 794 Editors Pol Antràs Robert J Barro Lawrence F Katz Andrei Shleifer View full editorial board Assistant Editor Trina Ott Alerting Services Email table of contents Email Advance Access CiteTrack XML RSS feed For Authors Services for authors Instructions to authors Submit now Self archiving policy for authors P56qQ0myhZIZ9qtHtIIeI0jcYDo8lVt6 true Looking for your next opportunity Looking for jobs Corporate Services What we offer Advertising sales Reprints Supplements Most Most Read The Impact of Jury Race in Criminal Trials The High Frequency Trading Arms Race Frequent Batch

    Original URL path: https://qje.oxfordjournals.org/content/130/4/1547/T1.expansion.html (2016-02-18)
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  • The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
    last fewer than 4 milliseconds the speed of light travel time between New York and Chicago Prior to November 24 2008 we drop opportunities that last fewer than 9 milliseconds the maximum combined effect of the speed of light travel time and the rounding of CME data to centiseconds See Section V B for details regarding the arbitrage See Section IV for details regarding the data This Article First published online July 23 2015 doi 10 1093 qje qjv027 Quarterly Journal of Economics November 1 2015 vol 130 no 4 1547 1621 Abstract Free Full Text HTML Free Full Text PDF Supplementary Data Search this journal Advanced Current Issue November 2015 130 4 Alert me to new issues The Journal About the journal Rights permissions We are mobile find out more Journals Career Network Click here to contact the Editorial Office Editorial Office Trina Ott Assistant Editor 1805 Cambridge Street Cambridge MA 02138 617 496 3293 qje admin editorialexpress com Published on behalf of President and Fellows of Harvard University Impact Factor 6 654 5 Yr impact factor 9 794 Editors Pol Antràs Robert J Barro Lawrence F Katz Andrei Shleifer View full editorial board Assistant Editor Trina Ott Alerting Services Email table of contents Email Advance Access CiteTrack XML RSS feed For Authors Services for authors Instructions to authors Submit now Self archiving policy for authors P56qQ0myhZIZ9qtHtIIeI0jcYDo8lVt6 true Looking for your next opportunity Looking for jobs Corporate Services What we offer Advertising sales Reprints Supplements Most Most Read The Impact of Jury Race in Criminal Trials The High Frequency Trading Arms Race Frequent Batch Auctions as a Market Design Response Where is the land of Opportunity The Geography of Intergenerational Mobility in the United States The Employment Effects of Credit Market Disruptions Firm level Evidence from the 2008 9

    Original URL path: https://qje.oxfordjournals.org/content/130/4/1547/F4.expansion.html (2016-02-18)
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  • The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
    our data Panel B plots the kernel density of the profitability of arbitrage opportunities per unit traded for each year in our data See Section V B for details regarding the ES SPY arbitrage See Section IV for details regarding the data This Article First published online July 23 2015 doi 10 1093 qje qjv027 Quarterly Journal of Economics November 1 2015 vol 130 no 4 1547 1621 Abstract Free Full Text HTML Free Full Text PDF Supplementary Data Search this journal Advanced Current Issue November 2015 130 4 Alert me to new issues The Journal About the journal Rights permissions We are mobile find out more Journals Career Network Click here to contact the Editorial Office Editorial Office Trina Ott Assistant Editor 1805 Cambridge Street Cambridge MA 02138 617 496 3293 qje admin editorialexpress com Published on behalf of President and Fellows of Harvard University Impact Factor 6 654 5 Yr impact factor 9 794 Editors Pol Antràs Robert J Barro Lawrence F Katz Andrei Shleifer View full editorial board Assistant Editor Trina Ott Alerting Services Email table of contents Email Advance Access CiteTrack XML RSS feed For Authors Services for authors Instructions to authors Submit now Self archiving policy for authors P56qQ0myhZIZ9qtHtIIeI0jcYDo8lVt6 true Looking for your next opportunity Looking for jobs Corporate Services What we offer Advertising sales Reprints Supplements Most Most Read The Impact of Jury Race in Criminal Trials The High Frequency Trading Arms Race Frequent Batch Auctions as a Market Design Response Where is the land of Opportunity The Geography of Intergenerational Mobility in the United States The Employment Effects of Credit Market Disruptions Firm level Evidence from the 2008 9 Financial Crisis The Real Costs of Credit Access Evidence from the Payday Lending Market View all Most Read articles Most Cited The Market for

    Original URL path: https://qje.oxfordjournals.org/content/130/4/1547/F5.expansion.html (2016-02-18)
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  • The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
    day against ES distance traveled defined as the sum of the absolute value of changes in the ES midpoint price over the course of the trading day The solid line represents the fitted values from a linear regression of arbitrage frequency on distance traveled See Section V B for details regarding the arbitrage See Section IV for details regarding the data This Article First published online July 23 2015 doi 10 1093 qje qjv027 Quarterly Journal of Economics November 1 2015 vol 130 no 4 1547 1621 Abstract Free Full Text HTML Free Full Text PDF Supplementary Data Search this journal Advanced Current Issue November 2015 130 4 Alert me to new issues The Journal About the journal Rights permissions We are mobile find out more Journals Career Network Click here to contact the Editorial Office Editorial Office Trina Ott Assistant Editor 1805 Cambridge Street Cambridge MA 02138 617 496 3293 qje admin editorialexpress com Published on behalf of President and Fellows of Harvard University Impact Factor 6 654 5 Yr impact factor 9 794 Editors Pol Antràs Robert J Barro Lawrence F Katz Andrei Shleifer View full editorial board Assistant Editor Trina Ott Alerting Services Email table of contents Email Advance Access CiteTrack XML RSS feed For Authors Services for authors Instructions to authors Submit now Self archiving policy for authors P56qQ0myhZIZ9qtHtIIeI0jcYDo8lVt6 true Looking for your next opportunity Looking for jobs Corporate Services What we offer Advertising sales Reprints Supplements Most Most Read The Impact of Jury Race in Criminal Trials The High Frequency Trading Arms Race Frequent Batch Auctions as a Market Design Response Where is the land of Opportunity The Geography of Intergenerational Mobility in the United States The Employment Effects of Credit Market Disruptions Firm level Evidence from the 2008 9 Financial Crisis The Real Costs

    Original URL path: https://qje.oxfordjournals.org/content/130/4/1547/F6.expansion.html (2016-02-18)
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