Relativistic statistical arbitrage

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Abstract
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. DOI: http://dx.doi.org/10.1103/PhysRevE.82.056104 Received 29 July 2010Revised 10 October 2010Published 5 November 2010© 2010 The American Physical Society