September 28, 2011
The work of Alex Wissner-Gross, "Financial Trading at the Speed of Light," featured in IEEE Spectrum magazine, was the top story in APS Weekly NewsBrief.
The associated Physical Review E abstract:
A. D. Wissner-Gross1,* and C. E. Freer2,†
1The MIT Media Laboratory, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139, USA
2Department of Mathematics, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139, USA
Received 29 July 2010; revised 10 October 2010; published 5 November 2010
Recent advances in high-frequency financial trading have made light propagation delays between geographically separated exchanges relevant. Here we show that there exist optimal locations from which to coordinate the statistical arbitrage of pairs of spacelike separated securities, and calculate a representative map of such locations on Earth. Furthermore, trading local securities along chains of such intermediate locations results in a novel econophysical effect, in which the relativistic propagation of tradable information is effectively slowed or stopped by arbitrage.
© 2010 The American Physical Society
PACS: 89.65.Gh, 05.40.-a, 05.45.Xt
†Present address: Department of Mathematics, University of Hawai‘i at Manoa, Honolulu, Hawai‘i 96822, USA; email@example.com