| dc.contributor.author | Wissner-Gross, Alexander | |
| dc.contributor.author | Freer, Cameron E. | |
| dc.date.accessioned | 2011-05-20T15:15:38Z | |
| dc.date.available | 2011-05-20T15:15:38Z | |
| dc.date.issued | 2010-11 | |
| dc.date.submitted | 2010-10 | |
| dc.identifier.issn | 1539-3755 | |
| dc.identifier.issn | 1550-2376 | |
| dc.identifier.uri | http://hdl.handle.net/1721.1/62859 | |
| dc.description.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. | en_US |
| dc.description.sponsorship | National Science Foundation (U.S.) (Grant No. DMS-0901020) | en_US |
| dc.language.iso | en_US | |
| dc.publisher | American Physical Society | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1103/PhysRevE.82.056104 | en_US |
| dc.rights | 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. | en_US |
| dc.source | APS | en_US |
| dc.title | Relativistic statistical arbitrage | en_US |
| dc.type | Article | en_US |
| dc.identifier.citation | Wissner-Gross, A. D., and C. E. Freer. “Relativistic Statistical Arbitrage.” Physical Review E 82.5 (2010) : 056104. © 2010 The American Physical Society | en_US |
| dc.contributor.department | Massachusetts Institute of Technology. Department of Mathematics | en_US |
| dc.contributor.department | Massachusetts Institute of Technology. Media Laboratory | en_US |
| dc.contributor.approver | Wissner-Gross, Alexander | |
| dc.contributor.mitauthor | Wissner-Gross, Alexander | |
| dc.contributor.mitauthor | Freer, Cameron E. | |
| dc.relation.journal | Physical Review E | en_US |
| dc.eprint.version | Final published version | en_US |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | en_US |
| eprint.status | http://purl.org/eprint/status/PeerReviewed | en_US |
| dspace.orderedauthors | Wissner-Gross, A.; Freer, C. | en |
| dc.identifier.orcid | https://orcid.org/0000-0002-4818-7674 | |
| dspace.mitauthor.error | true | |
| mit.license | PUBLISHER_POLICY | en_US |
| mit.metadata.status | Complete | |
