Execution Risk in High-Frequency Arbitrage

Published Online:https://doi.org/10.1287/mnsc.1120.1541

References

  • Akram F, Rime D, Sarno L. Arbitrage in the foreign exchange market: Turning on the microscope. J. Internat. Econom. (2008) 76(2):237–253CrossrefGoogle Scholar
  • Bank for International Settlements Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in April 2004. (2004) . Press release, September 28. Accessed May 28, 2012, http://www.bis.org/publ/rpfx04.pdfGoogle Scholar
  • Biais B, Hillion P, Spatt C. An empirical analysis of the limit order book and the order flow in the Paris Bourse. J. Finance (1995) 50(5):1655–1689CrossrefGoogle Scholar
  • Brogaard JA. High frequency trading and its impact on market quality. (2010) . Working paper, Kellogg School of Management, Northwestern University, Evanston, ILGoogle Scholar
  • Chaboud A, Chiquoine B, Hjalmarsson E, Vega C. Rise of the machines: Algorithmic trading in the foreign exchange market. (2010) . International Finance Discussion Papers, The Federal Reserve Board, Washington, DCGoogle Scholar
  • Committee of European Securities Regulators (CESR) Call for evidence: Micro-structural issues of the European equity markets. (2010) . CESR/10-142. Accessed May 28, 2012, http://www.esma.europa.eu/system/files/10_142.pdfGoogle Scholar
  • Dewan S, Mendelson H. User delay costs and internal pricing for service facility. Management Sci. (1990) 36(12):1502–1517LinkGoogle Scholar
  • Easley D, Hendershott T, Ramadorai T. Levelling the trading field. (2009) . Working paper, Cornell University, Ithaca, NYCrossrefGoogle Scholar
  • Fong WM, Valente G, Fung J. Covered interest arbitrage profits: The role of market liquidity and credit risk. J. Banking Finance (2010) 34(5):1098–1107CrossrefGoogle Scholar
  • Gromb D, Vayanos D. Limits of arbitrage: The state of the theory. (2010) . NBER Working Paper 15821, National Bureau of Economic Research, Cambridge, MACrossrefGoogle Scholar
  • Hendershott T, Moulton P. Automation, speed, and stock market quality: The NYSE’s hybrid. J. Financial Markets (2011) 14(4):568–604CrossrefGoogle Scholar
  • Hendershott T, Jones C, Menkveld A. Does algorithmic trading improve liquidity? J. Finance (2011) 66(1):1–33CrossrefGoogle Scholar
  • Holden C. Index arbitrage as cross-sectional market making. J. Futures Markets (1995) 15(4):423–455CrossrefGoogle Scholar
  • Hosanagar K, Chuang J, Krishnan R, Smith MD. Service adoption and pricing of content delivery network (CDN) services. Management Sci. (2008) 54(9):1579–1593LinkGoogle Scholar
  • Kamara A, Miller TW. Daily and intradaily tests of European put-call parity. J. Financial Quant. Anal. (1995) 30(4):519–539CrossrefGoogle Scholar
  • Kleidon A. Arbitrage, nontrading, and stale prices: October 1987. J. Bus. (1992) 65(4):483–507CrossrefGoogle Scholar
  • Kondor P. Risk in dynamic arbitrage: Price effects of convergence trading. J. Finance (2009) 64(2):631–655CrossrefGoogle Scholar
  • Krishnan H, Winter RA. Inventory dynamics and supply chain coordination. Management Sci. (2010) 56(1):141–147LinkGoogle Scholar
  • Kumar P, Seppi D. Information and index arbitrage. J. Bus. (1994) 67(4):481–509CrossrefGoogle Scholar
  • Lariviere MA, Mieghem JAV. Strategically seeking service: How competition can generate poisson arrivals. Manufacturing Service Oper. Management (2004) 6(1):23–40LinkGoogle Scholar
  • Lyons R. Profits and position control: A week of FX dealing. J. Internat. Money Finance (1998) 17(1):97–115CrossrefGoogle Scholar
  • Lyons R, Moore M. An information approach to international currencies. J. Internat. Econom. (2009) 79(2):211–221CrossrefGoogle Scholar
  • Marshall B, Treepongkaruna S, Young M. Exploitable arbitrage opportunities exist in the foreign exchange market. American Finance Association Annual Meeting (2008) New OrleansGoogle Scholar
  • Martínez-de-Albéniz V, Talluri K. Dynamic price competition with fixed capacities. Management Sci. (2011) 57(6):1078–1093LinkGoogle Scholar
  • Mendelson H. Pricing computer services: Queueing effects. Comm. Assoc. Comput. Machinery (1985) 28(3):312–321CrossrefGoogle Scholar
  • Næs R, Skjeltorp JA. Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. J. Financial Markets (2006) 9(4):408–432CrossrefGoogle Scholar
  • Naor P. The regulation of queue size by levying tolls. Econometrica (1969) 37(1):15–24CrossrefGoogle Scholar
  • Oehmke M. Gradual arbitrage. (2009) . Working paper, Columbia University, New YorkCrossrefGoogle Scholar
  • Perold A. The implementation shortfall: Paper vs. reality. J. Portfolio Management (1988) 14(3):4–9CrossrefGoogle Scholar
  • Roll R, Schwartz E, Subrahmanyam A. Liquidity and the law of one price: The case of future-cash basis. J. Finance (2007) 62(5):2201–2234CrossrefGoogle Scholar
  • Stein J. Sophisticated investors and market efficiency. J. Finance (2009) 64(4):1517–1548CrossrefGoogle Scholar
  • Tabb L, Iati R, Sussman A. US equity high frequency trading: Strategies, sizing, and market structure. (2009) . Research paper, TABB Group, Westborough, MAGoogle Scholar
  • Tham WW. Macroeconomic announcements, price discovery, liquidity in FX market. (2009) . Working paper, Erasmus School of Economics, Rotterdam, The NetherlandsGoogle Scholar
  • U.S. Securities and Exchange Commission (SEC) Concept release on equity market structure. (2010) . Release No. 34-61358; File No. S7-02-10. Accessed May 28, 2012, http://www.sec.gov/rules/concept/2010/34-61358.pdfGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.