New strategy nets $6 million annually in cross-listed stock arbitrage
The article explores a trading strategy for cross-listed stocks, focusing on the impact of information delays in high-frequency trading. The strategy combines triangular arbitrage and pairs trading, considering factors like trade costs and inventory control. Testing this strategy on stocks from Canada and the US in 2019 showed an annual profit of around US$6 million using limit orders. However, international latency arbitrage with market orders was not profitable based on the data analyzed.