News Trading and Speed
Speed matters: we show that an investor's optimal trading strategy is significantly different when he observes news faster than others versus when he does not, holding the precision of his signals constant. When the investor has fast access to news, his trades are much more sensitive to news, account for a much bigger fraction of trading volume, and forecast short run price changes. Moreover, in this case, an increase in news informativeness increases liquidity, volume, and the fast investor's share of trading volume. Last, price changes are more correlated with news and trades contribute more to volatility when the investor has fast access to news.
|Date of creation:||04 Nov 2013|
|Contact details of provider:|| Postal: HEC Paris, 78351 Jouy-en-Josas cedex, France|
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Other versions of this item:
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713376, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713377, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713374, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713372, HAL.
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017. "Sparse Signals in the Cross-Section of Returns," NBER Working Papers 23933, National Bureau of Economic Research, Inc.
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Journal of Banking & Finance,
Elsevier, vol. 38(C), pages 89-105.
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- Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.
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- Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
- Foucault, Thierry & Kozhan, Roman & Tham, Wing Wah, 2014. "Toxic Arbitrage," CEPR Discussion Papers 9925, C.E.P.R. Discussion Papers.
- Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," Les Cahiers de Recherche 1040, HEC Paris.
- Alexis Stenfors & Masayuki Susai, 2017. "Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data," Working Papers in Economics & Finance 2017-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Albert J. Menkveld & Marius A. Zoican, 2014. "Need for Speed? Exchange Latency and Liquidity," Tinbergen Institute Discussion Papers 14-097/IV, Tinbergen Institute.
- Albert Menkveld & Marius Andrei Zoican, 2016. "Need for Speed? Exchange Latency and Liquidity," Working Papers hal-01253615, HAL.
- Albert Menkveld & Marius Andrei Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," Post-Print hal-01501352, HAL.
- Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
- Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017. "Coming early to the party," SAFE Working Paper Series 182, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
- repec:eee:pacfin:v:45:y:2017:i:c:p:1-13 is not listed on IDEAS
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