# Low-Latency Trading by Joel Hasbrouck, Gideon Saar

<http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1695460>

- Host: [papers.ssrn.com](https://links.thingelstad.xyz/hosts/papers.ssrn.com/)
- Saved: May 30, 2012 (2012-05-30T10:03:19Z)
- Record: https://links.thingelstad.xyz/links/811ebe3e764f/
- JSON: https://links.thingelstad.xyz/links/811ebe3e764f.json

## From the page (probably an excerpt, not Jamie's words)

This paper studies market activity in the millisecond environment, where computer algorithms respond to each other almost instantaneously. Using order-level NASDAQ data, we find that the millisecond environment consists of activity by some traders who respond to market events (like changes in the limit order book) within roughly 2-3 ms, and others who seem to cycle in wall-clock time. We define low-latency activity as strategies that respond to market events in the millisecond environment, the hallmark of proprietary trading by a new breed of high-frequency trading firms. We construct a measure of low-latency activity by identifying strategic runs, which are linked submissions, cancellations, and executions that are likely to be parts of a dynamic strategy. We use this measure to study the impact that low-latency activity has on market quality both during normal market conditions and during a period of declining prices and heightened economic uncertainty. Our conclusion is that in the current environment, increased low-latency activity improves traditional market quality measures such as short-term volatility, spreads, and displayed depth in the limit order book.

## Facts

- Kind: [Page](https://links.thingelstad.xyz/kinds/page/)

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- Wayback Machine: https://web.archive.org/web/*/http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1695460