Session B14: Applications of Statistical and Nonlinear Physics to Social Systems and GSNP Student Speaker Award Talks

11:15 AM–2:03 PM, Monday, March 21, 2011
Room: D227

Sponsoring Unit: GSNP
Chair: Victor Yakovenko, University of Maryland

Abstract ID: BAPS.2011.MAR.B14.2

Abstract: B14.00002 : Relativistic statistical arbitrage

11:27 AM–11:39 AM

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  Alexander Wissner-Gross
    (Massachusetts Institute of Technology)

  Cameron Freer
    (University of Hawaii)

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.

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