Achievement

IGERT fellow Elaine Wah and IGERT co-PI Michael Wellman studied high-frequency trading (HFT) over the last year and published their findings in the ACM-EC'13. The bottom-line finding is that latency arbitrage (a particular form of HFT) reduces profits of non-HFT investors, and even degrades the efficiency of the market as a whole. The authors propose a discrete-time market clearing mechanism to eliminate latency arbitrage and improve market efficiency. This work was featured in Tech Crunch on June 14, 2013. (Wah and Wellman 2013)