From the Archives: Measuring the 15-Microsecond Dash with Professor Eric “Batch” Budish
Boxes and Lines
The Cost of Liquidity in Modern Financial Markets
A third of all price impact comes from races. That's like a source of the cost of trading, the cost of accessing liquidity. If you take the data from our study and extrapolate it to global equity markets, it comes to about $5 billion in global equity markets per year. But on the other hand, it's billions of dollars a year for a very small number of participants who then fight like tech to preserve the status quo or market structure.
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