A limit order book model for latency arbitrage

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Cohen, Samuel N., and Lukasz Szpruch. “A Limit Order Book Model for Latency Arbitrage”. Mathematics and Financial Economics, vol. 6, no. 3, 2012, pp. 211-27, https://doi.org/10.1007/s11579-012-0082-5.
Cohen, S. N., & Szpruch, L. (2012). A limit order book model for latency arbitrage. Mathematics and Financial Economics, 6(3), 211-227. https://doi.org/10.1007/s11579-012-0082-5
Cohen SN, Szpruch L. A limit order book model for latency arbitrage. Mathematics and Financial Economics. 2012;6(3):211-27.
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 36 2005
Citations
Title Journal Journal Categories Citations Publication Date
Statistical Predictions of Trading Strategies in Electronic Markets SSRN Electronic Journal 1 2023
Latency arbitrage in fragmented markets: A strategic agent-based analysis Algorithmic Finance
  • Social Sciences: Finance
 1 2017
A note on the relationship between high-frequency trading and latency arbitrage International Review of Financial Analysis
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 3 2016
How Prevalent and Profitable are Latency Arbitrage Opportunities on U.S. Stock Exchanges? SSRN Electronic Journal 3 2016
Liquidity Suppliers and High Frequency Trading SIAM Journal on Financial Mathematics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2 2015
Citations Analysis
Category Category Repetition
Social Sciences: Finance4
Social Sciences: Economic theory. Demography: Economics as a science3
Social Sciences: Commerce: Business3
Science: Mathematics2
Social Sciences: Statistics1
Technology: Manufactures: Production management. Operations management1
Social Sciences: Commerce: Business: Personnel management. Employment management1
Technology: Engineering (General). Civil engineering (General)1
The category Social Sciences: Finance 4 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Low-Latency Trading and was published in 2011. The most recent citation comes from a 2023 study titled Statistical Predictions of Trading Strategies in Electronic Markets. This article reached its peak citation in 2013, with 3 citations. It has been cited in 6 different journals. Among related journals, the SSRN Electronic Journal cited this research the most, with 4 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year