Transmission of market orders through communication line with relativistic delay

TL;DR

This paper models the transmission delay of market orders using relativistic physics concepts and queue theory, highlighting the impact of finite signal velocity on trading systems.

Contribution

It introduces a novel application of modified M/M/G queue theory to analyze relativistic delays in financial order transmission.

Findings

Quantifies the effect of finite signal velocity on order transmission delays.

Provides a theoretical framework for understanding relativistic effects in high-frequency trading.

Suggests implications for server placement and trading latency optimization.

Abstract

The notion of "relativistic finance" became ingrained in public imagination and has been asserted in many mass-media reports. Yet, despite an observed drive of the most reputable Wall Street firms to establish their servers ever closer to the trading hubs, there is surprisingly little "hard" information related to relativistic delay of the trading orders. In this paper, the author uses modified M/M/G queue theory to describe propagation of the trading signal with finite velocity.