Need for Speed: An Empirical Analysis of Hard and Soft Information in a High Frequency World
- 1 January 2012
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We study the role of high frequency traders (HFTs) and non-HFTs in processing hard index price information and soft news information. On one side, we show thatKeywords
This publication has 32 references indexed in Scilit:
- Fast and slow informed tradingJournal of Financial Markets, 2019
- Equilibrium fast tradingJournal of Financial Economics, 2015
- Price pressuresJournal of Financial Economics, 2014
- High-frequency tradingJournal of Financial Markets, 2013
- Low-latency tradingJournal of Financial Markets, 2013
- High frequency trading and the new market makersJournal of Financial Markets, 2013
- Very fast money: High-frequency trading on the NASDAQJournal of Financial Markets, 2013
- The diversity of high-frequency tradersJournal of Financial Markets, 2013
- Simple formulas for standard errors that cluster by both firm and timePublished by Elsevier ,2010
- Portfolio return autocorrelationJournal of Financial Economics, 1993