High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
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Cited by:
- Luiza Loredana N?stase, 2016. "The Stability Of International Financial Markets Versus Emerging Economies Vulnerability," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(44), pages 160-167.
- Corsetti, G. & Lafarguette, R. & Mehl, A., 2019.
"Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market,"
Cambridge Working Papers in Economics
1970, Faculty of Economics, University of Cambridge.
- Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019. "Fast trading and the virtue of entropy: evidence from the foreign exchange market," Working Paper Series 2300, European Central Bank.
- Giancarlo Corsetti & Romain Lafarguette & Arnaud Mehl, 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Discussion Papers 1914, Centre for Macroeconomics (CFM).
- Onofrio Panzarino & Francesco Potente & Alfonso Puorro, 2016. "BTP futures and cash relationships: a high frequency data analysis," Temi di discussione (Economic working papers) 1083, Bank of Italy, Economic Research and International Relations Area.
- repec:uts:finphd:39 is not listed on IDEAS
- repec:eee:pacfin:v:48:y:2018:i:c:p:35-55 is not listed on IDEAS
- repec:eee:pacfin:v:53:y:2019:i:c:p:186-207 is not listed on IDEAS
- repec:uts:finphd:2-2018 is not listed on IDEAS
More about this item
Keywords
Financial markets;JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2015-01-03 (Market Microstructure)
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