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Relativistic statistical arbitrage

Author(s)
Wissner-Gross, Alexander; Freer, Cameron E.
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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.
Date issued
2010-11
URI
http://hdl.handle.net/1721.1/62859
Department
Massachusetts Institute of Technology. Department of Mathematics; Massachusetts Institute of Technology. Media Laboratory
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
ISSN
1539-3755
1550-2376

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