3 ms·
Ah thanks for the link to the working paper, I had been looking for it. This jumps out from the footnote on page 7: "As far as we know, this time is not availa
by lrm242 12y ago
Ah thanks for the link to the working paper, I had been looking for it. This jumps out from the footnote on page 7:
"As far as we know, this time is not available on any publicly available database. We initially obtained these times using real time “scrapes” of the SEC EDGAR site. We subsequently used a collection of these times made available by the Tier 1 subscriber.
Given that this entity’s business model depends, at least in part, on obtaining and disseminating these filings in the most timely manner possible, they have strong incentives to collect accurate information about when filings become available on the SEC website."
Basically, clock skew is not accounted for at all and timings are potentially done from disparate and non-common observation points. It's quite possible that the delays they observe are strictly due to noise.
- ycombobreaker 12y agoNoise from clock skew and timings of half a second? They make a point that their information source for timing is from a subscriber which appears to trade on the information, so timing is probably accurate within 100ms. It sounds like this information can be used for a variant of a "news" trade, which can be extremely latency-sensitive.
- lrm242 12y agoClock skew in that the clocks used by the participant may or may not have been synchronized. There are, effectively, no details about how the timing is done on the news side and there is allusion to some use of EDGAR posting timestamps which are from an entirely different clock. Even more concerning, is that they map news events to market data using non-synchronized market data timestamps. It appears to be TAQ data. The timing aspect of the entire article is very poorly described but yet is fundamental to the claim they are making.