Risk and Return in High-Frequency Trading
研究了高频交易公司的业绩和竞争，发现相对延迟差异显著影响交易表现，速度优势通过信息获取和风险管理渠道提升收益。
We study performance and competition among firms engaging in high-frequency trading (HFT). We construct measures of latency and find that differences in relative latency account for large differences in HFT firms’ trading performance. HFT firms that improve their latency rank due to colocation upgrades see improved trading performance. The stronger performance associated with speed comes through both the short-lived information channel and the risk management channel, and speed is useful for various strategies, including market making and cross-market arbitrage. We find empirical support for many predictions regarding relative latency competition.