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Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements

Prices of the highly liquid S&P500 exchange traded fund (SPY) and the E-mini future (ES) respond to macroeconomic announcement surprises within five milliseconds, with trading intensity increasing over a hundred-fold following the news release. However, profits from trading quickly are relatively small, roughly $19,000 ($50,000) per event for SPY (ES). Although the speed of information incorporation has increased in recent years, profits have not. Order flow has become less informative, consistent with prices responding directly to news rather than indirectly through trading. The increasingly faster quote updates mitigates concerns that low latency liquidity demanders possess short-term monopolistic access to information.