Description

This paper explores the boundaries of informational efficiency and ultra-high-frequency (UHF) market
microstructure by analyzing market reactions following U.S. macroeconomic announcements on
Eurex and the Chicago Mercantile Exchange (CME). Leveraging nanosecond-resolution order book
data from 2019 to 2025, we exploit a natural experiment in dissemination protocols with private
embargo based (PMI) versus government led (NFP, FOMC) releases to document an unprecedented
compression of the information incorporation horizon. To capture this, we introduce a novel Hybrid
Piecewise Intensity framework that departs from standard continuous-time models to explicitly map
the multi-phasic transitions and deterministic hardware constraints of modern exchange topologies.
We find that PMI releases trigger near-instantaneous reactions, with empirical trade arrival peaks
of 1.16 μs at Eurex and 6.64 μs at the CME, tightly bound to the theoretical physical limits of the
co-location facilities to the exchange infrastructure. Furthermore, our model isolates cross-venue
arbitrage dynamics, capturing a secondary order-flow convergence on Eurex driven precisely by the
∼31 ms Chicago-Frankfurt microwave transmission latency. Analyzing profitability across these
temporal regimes reveals a profound latency advantage: massive capital is deployed and profits
are realized within the primary microsecond burst, causing rapid liquidity depletion. While the
CME functions as a heavy-tailed, "winner-take-all" environment with sharp deteriorations in risk-
adjusted returns for secondary trades, Eurex exhibits a more constrained volume but remarkably
stable Sharpe profiles across phases. Ultimately, we demonstrate that microsecond-scale market
efficiency is fundamentally dictated by physical network infrastructures, raising critical questions
regarding equitable information access and the integrity of global dissemination protocols.