Racing the News: Nanosecond Market Efficiency at Eurex and CME
Preprint
- 21 July 2026
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We propose a Hybrid Piecewise Intensity model linking point-process econometrics to the physical architecture of electronic exchanges, decomposing trade arrivals in the 100 ms around macroeconomic announcements into four latency-aligned phases. Calibrated on nanosecond Eurex and CME data (2019--2025), modal Phase~1 peaks occur at 1.16 μs (Eurex) and 6.64 μs (CME), tracking each venue's network transmission floor. Comparing private embargo-based (PMI) and government-led (NFP, FOMC) releases, we find reaction-speed differences consistent with protocol-induced latency advantages, though confounds remain. The CME concentrates profitability within 200 μs with deteriorating risk-adjusted returns thereafter; Eurex sustains stable Sharpe ratios across longer horizons.Keywords
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