Artikel
Transmission of trading orders through communication line with relativistic delay
The notion of "relativistic finance" became ingrained in the public imagination and has been asserted in many mass-media reports. However, despite an observed drive of the most reputable Wall Street firms to establish their servers ever closer to the trading hubs, there is surprisingly little concrete information related to the relativistic delay of the trading orders. There is an underlying assumption that faster electronics are always beneficial to the stability of the network. In this paper, the author proposes a modified M/M/G queue theory to describe the propagation of the trading signal with finite velocity. Based on this theory, we demonstrate that, even if the reaction time of the system is negligible, the propagating signal is distorted by simple acts of trading along the transmission line.
- Sprache
-
Englisch
- Erschienen in
-
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-11 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
high-frequency trading
network dynamics
queue theory
relativistic delay
signal processing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lerner, Peter B.
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
-
doi:10.3390/ijfs9010012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Lerner, Peter B.
- MDPI
Entstanden
- 2021
Ähnliche Objekte (12)
High-Frequency Trading around Large Institutional Orders
Bargaining and delay in trading networks
Strategic information transmission and stochastic orders
Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment
Hidden and fast liquidity: Hidden orders and high-frequency trading
Scheduling Series-Parallel Orders Subject to 0/1-Communication Delays
Relativistic features and time delay of laser-induced tunnel-ionization
Relativistic features and time delay of laser-induced tunnel-ionization
Mutual volatility transmission between assets and trading places
Introduction to neural dynamics and signal transmission delay
The quality of mediated-conversations under transmission delay
Neural field models with transmission delays and diffusion
High-Frequency Trading around Large Institutional Orders
Bargaining and delay in trading networks
Strategic information transmission and stochastic orders
Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment
Hidden and fast liquidity: Hidden orders and high-frequency trading
Scheduling Series-Parallel Orders Subject to 0/1-Communication Delays
Relativistic features and time delay of laser-induced tunnel-ionization
Relativistic features and time delay of laser-induced tunnel-ionization
Mutual volatility transmission between assets and trading places
Introduction to neural dynamics and signal transmission delay
The quality of mediated-conversations under transmission delay
Neural field models with transmission delays and diffusion
High-Frequency Trading around Large Institutional Orders
Bargaining and delay in trading networks
Strategic information transmission and stochastic orders
Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment
Hidden and fast liquidity: Hidden orders and high-frequency trading
Scheduling Series-Parallel Orders Subject to 0/1-Communication Delays
Relativistic features and time delay of laser-induced tunnel-ionization
Relativistic features and time delay of laser-induced tunnel-ionization
Mutual volatility transmission between assets and trading places
Introduction to neural dynamics and signal transmission delay
The quality of mediated-conversations under transmission delay