Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
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- Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014. "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 89-105.
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More about this item
Keywords
Macroeconomic News; High Frequency Trading; Latency Costs; Market Activity; Event-Based Trading;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- 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-MAC-2012-12-06 (Macroeconomics)
- NEP-MST-2012-12-06 (Market Microstructure)
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