Mon, 05 Mar 2012 07:00:21 GMT - High Frequency Trading Review
Speed, or lack thereof, kills.
In one of the first studies to quantify the opportunity cost of slow algorithmic trades, Martin L. Scholtus and Dick van Dijk of the Erasmus University Rotterdam found that on an average trading day, a delay of 200 milliseconds can result in significant missed opportunities.
Setting up 27,424 technical trading rules for the S&P 500, NASDAQ 100 and Russell 2000 indexes, the researchers compared the difference in performance for optimal trades executed instantly versus those executed at delayed intervals.
