RePEcTrading, Microstructure & Execution
High-Frequency Arbitrage on Cross-Listed Stocks: Info Latency Effects
Info Latency Effects: The study presents a new method to examine the impact of information delay in high-frequency trading on international cross-listed stocks, suggesting a profitable strategy based on price deviations using Canadian and US stocks.
Featured in No. 15 on 14 Sep 2023 · on release day
- Released
- 14 Sep 2023
- First featured
- No. 15 · 14 Sep 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 28
- Identifier
- RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002934
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).