Research preview

The opening bell at the New York Stock Exchange, rung by a senior government official, draws attention to the market’s public face. Beneath the ceremony, a relentless high‑frequency trading (HFT) arms race is shaping liquidity, spreads, and the true cost of every trade. Understanding this hidden layer is essential for quantitative traders who seek to price risk accurately and design robust strategies. The Speed Race Behind Every Quote Message‑level data from equity exchanges reveal that latency‑arbitrage races occur roughly once per minute for each major UK equity. Each race lasts only 5‑10 microseconds – a few millionths of a second – and still moves a sizable slice of daily volume....