Transmission of Market Orders Through Communication Line With Relativistic Delay

15 Pages Posted: 28 Aug 2020

See all articles by Peter Lerner

Peter Lerner

SUNY-Brockport and AAUNI, Prague

Date Written: August 12, 2020

Abstract

The notion of “relativistic finance” became ingrained in public imagination and has been asserted in many mass-media reports. Yet, despite an observed drive of the most reputable Wall Street firms to establish their servers ever closer to the trading hubs, there is surprisingly little “hard” information related to relativistic delay of the trading orders. In this paper, the author uses modified M/M/G queue theory to describe propagation of the trading signal with finite velocity.

Keywords: Econophysics, High-Frequency Trading, Queue Theory, Information Transmission

JEL Classification: G14, C32, C15

Suggested Citation

Lerner, Peter, Transmission of Market Orders Through Communication Line With Relativistic Delay (August 12, 2020). Available at SSRN: https://ssrn.com/abstract=3672625 or http://dx.doi.org/10.2139/ssrn.3672625

Peter Lerner (Contact Author)

SUNY-Brockport and AAUNI, Prague ( email )

120 Letnikov, Prague
350 New Campus Drive
Brockport, NY 14420
United States

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