Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements

• 成果类型: Article
• 署名作者: Chordia, Tarun; Green, T. Clifton; Kottimukkalur, Badrinath
• 署名单位: Emory University; George Washington University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy025
• 发表日期: 2018
• 页码: 4650
• 关键词: Price discovery; MARKET; news; EFFICIENCY; speed

摘要

Prices of the highly liquid S&P 500 exchange-traded fund (SPY) and the E-mini future (ES) respond to macroeconomic announcement surprises within five milliseconds, with trading intensity increasing over 100-fold following the news release. However, profits from trading quickly are relatively small, roughly $19,000 ($50,000) per event forSPY(ES). Although the speed of information incorporation has increased in recent years, profits have not. Order flow has become less informative, consistent with prices responding directly to news rather than indirectly through trading. Our evidence indicates that low-latency liquidity demanders do not benefit materially from short-term monopolistic access to information.