Yesterday we came across an interesting blog post by John Cochrane, a professor at the University of Chicago’s Booth School of Business. His post, titled Weird Stuff in High Frequency Markets, highlighted the following graph from a 2011 academic paper by Hasbrouck and Saar, titled Low Latency Trading:
This chart is interesting, as it shows the flow of messages on NASDAQ over any typical 10-second interval. Note that there are large quote traffic spikes every second, on the second
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