The Cost of Latency∗
نویسندگان
چکیده
Modern electronic markets have been characterized by a relentless drive towards faster decision making. Significant technological investments have led to dramatic improvements in latency, the delay between a trading decision and the resulting trade execution. We describe a theoretical model for the quantitative valuation of latency. Our model provides a closed-form expression for the cost of latency in terms of well-known parameters of the underlying asset. We implement our model by estimating the latency cost of trading NYSE common stocks from 1995 to 2005 and show that median latency cost across our sample more than tripled during this time period.
منابع مشابه
Low latency IIR digital filter design by using metaheuristic optimization algorithms
Filters are particularly important class of LTI systems. Digital filters have great impact on modern signal processing due to their programmability, reusability, and capacity to reduce noise to a satisfactory level. From the past few decades, IIR digital filter design is an important research field. Design of an IIR digital filter with desired specifications leads to a no convex optimization pr...
متن کاملPreferences, Descriptions, and Response Latency to Fractal Images Among Individuals With and Without Schizophrenia
Background: Early simple, low-cost diagnosis of schizophrenia may accelerate the beginning of the treatment process. Here, utilizing the projective tools, including fractal images, are some of the diagnostic aids. Objectives: This study aimed to compare the preferences, descriptions, and response latency to fractal images between schizophrenic and healthy individuals. Materials & Methods: In ...
متن کاملDesign an Efficient Community-based Message Forwarding Method in Mobile Social Networks
Mobile social networks (MSNs) are a special type of Delay tolerant networks (DTNs) in which mobile devices communicate opportunistically to each other. One of the most challenging issues in Mobile Social Networks (MSNs) is to design an efficient message forwarding scheme that has a high performance in terms of delivery ratio, latency and communication cost. There are two different approaches fo...
متن کاملAn Android Application for Estimating Muscle Onset Latency using Surface EMG Signal
Background: Electromyography (EMG) signal processing and Muscle Onset Latency (MOL) are widely used in rehabilitation sciences and nerve conduction studies. The majority of existing software packages provided for estimating MOL via analyzing EMG signal are computerized, desktop based and not portable; therefore, experiments and signal analyzes using them should be completed locally. Moreover, a...
متن کاملProject scheduling optimization for contractor’s Net present value maximization using meta-heuristic algorithms: A case study
Today's competitive conditions have caused the projects to be carried out in the least possible time with limited resources. Therefore, managing and scheduling a project is a necessity for the project. The timing of a project is to specify a sequence of times for a series of related activities. According to their priority and their latency, so that between the time the project is completed and ...
متن کاملCost-aware Topology Customization of Mesh-based Networks-on-Chip
Nowadays, the growing demand for supporting multiple applications causes to use multiple IPs onto the chip. In fact, finding truly scalable communication architecture will be a critical concern. To this end, the Networks-on-Chip (NoC) paradigm has emerged as a promising solution to on-chip communication challenges within the silicon-based electronics. Many of today’s NoC architectures are based...
متن کامل