By Rob Wile
Speed, or lack thereof, kills.
In one of the first studies to quantify the opportunity cost of slow algorithmic trades, Martin L. Scholtus and Dick van Dijk of the Erasmus University Rotterdam found that on an average trading day, a delay of 200 milliseconds can result in significant missed opportunities.
Setting up 27,424 technical trading rules for the S&P 500, NASDAQ 100 and Russell 2000 indexes, the researchers compared the difference in performance for optimal trades executed instantly versus those executed at delayed intervals.
s&p 500, russell 2000, nasdaq 100, erasmus university, setting, erasmus university rotterdam, dick van dijk, martin l. scholtus, economy of new york city, economy of the united states, nasdaq, desiderius erasmus, delay, dutch people, business
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