Relativistic statistical arbitrage
Name
Wissner-Gross-2010-Relativistic statist.pdf
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292.71 KB
Format
Adobe PDF
Checksum (MD5)
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Author(s)
Wissner-Gross, Alexander
Freer, Cameron E.
Date Issued
November 2010
Journal
Physical Review E
Publisher
American Physical Society
Citation
Wissner-Gross, A. D., and C. E. Freer. “Relativistic Statistical Arbitrage.” Physical Review E 82.5 (2010) : 056104. © 2010 The American Physical Society
Version
Final published version
Abstract
Recent advances in high-frequency financial trading have made light propagation delays between geographically separated exchanges relevant. Here we show that there exist optimal locations from which to coordinate the statistical arbitrage of pairs of spacelike separated securities, and calculate a representative map of such locations on Earth. Furthermore, trading local securities along chains of such intermediate locations results in a novel econophysical effect, in which the relativistic propagation of tradable information is effectively slowed or stopped by arbitrage.
MIT Department
Massachusetts Institute of Technology. Department of Mathematics
Massachusetts Institute of Technology. Media Laboratory
Terms of Use
Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.
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DOI of Published Version
https://doi.org/10.1103/PhysRevE.82.056104
