How do reductions in latency create value in electronic markets?
This site explores the mechanisms—adverse selection, inventory risk, coordination cost, arbitrage, information asymmetry, and queue priority—through which faster information propagation changes market outcomes.
Grounded in physics, economics, and information theory. Evidence-based. Auditable claims.
Academic Papers on Latency & Market Microstructure Key research papers exploring how latency affects market outcomes. Foundational Papers The High-Frequency Trading Arms Race Budish, Cramton, Shim (2015) - Quarterly Journal of Economics Shows how speed competition creates socially wasteful arms race. Proposes frequent batch auctions as alternative. Key finding: 1 microsecond advantage → $75,000/year profit for single symbol Mechanism: Queue priority capture The Flash Crash: High-Frequency Trading in an Electronic Market CFTC-SEC Report (2010) ...
Industry Articles & Blog Posts Practitioner perspectives on latency, trading infrastructure, and market microstructure. Exchange Engineering Coinbase: Building a Real-Time Trading Engine Deep dives on matching engine architecture, latency optimization, and infrastructure. Binance: Technology Behind High-Performance Trading Engineering posts on handling millions of trades/second. Jane Street: OCaml and Low-Latency Systems Functional programming approaches to trading systems. Infrastructure & Networks Beeks Financial Cloud: The Geography of Latency Proximity hosting, network paths, and latency measurement. ...
Videos & Conference Talks Presentations on latency, HFT, and market microstructure. Academic Talks Eric Budish: The High-Frequency Trading Arms Race Chicago Booth, 2015 The paper that changed how economists think about latency competition. Explains why speed races are wasteful and proposes frequent batch auctions. Key insight: Competition for queue priority creates negative-sum game Maureen O’Hara: Market Microstructure in Practice Various conferences Overview of how market structure affects price discovery and liquidity. ...
Online Discussions & Communities Where practitioners discuss latency, trading infrastructure, and market microstructure. Twitter/X Key Accounts to Follow: Researchers: @ericbudish - HFT arms race research @matt_levine - Bloomberg columnist on markets @riskReversal - Market structure commentary Crypto/MEV: @hasufl - MEV research @bertcmiller - Flashbots @gakonst - Paradigm research Infrastructure: Various exchange engineering teams Trading firm tech accounts Reddit r/algotrading Algorithmic trading discussion including latency optimization. r/quant Quantitative finance including market microstructure. ...