Wah acknowledged the prevalence of the exploitable price differentials is not entirely clear. She counted approximately 69 arbitrage opportunities per security per day in 495 stocks in the S&P 500, and the median duration of these opportunities was 0.87 seconds.
The study also said the metric used to measure duration is highly sensitive to extreme values, leading to a result that most likely overestimates the measure.
If the "latency arb" opportunity exists because of fragmentation across stock exchanges/ECN's, then how do HFT's gain an edge in the electronic futures markets where each instrument trades on a single exchange?
If the "latency arb" opportunity exists because of fragmentation across stock exchanges/ECN's, then how do HFT's gain an edge in the electronic futures markets where each instrument trades on a single exchange?
