How the High‑Frequency “Arms Race” Shapes Market Costs – Lessons from a Marathon Victory
Research preview
Eliud Kipchoge’s surprise win in Melbourne reminded traders that speed matters, but in finance speed can be a double‑edged sword. The same principle that lets a runner shave seconds off a marathon also powers ultra‑fast trading strategies that compete for fractions of a microsecond. This article translates the findings of a recent quantitative study on latency‑arbitrage races into actionable insight for quantitative traders. The Hidden Battlefield: Message Data vs. Order‑Book Data Traditional limit‑order‑book snapshots show only the trades that actually occur. They hide the “failed” attempts – orders that were sent, cancelled, or rejected before execution....
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