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High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
16 references·3 citing·46 second hopsampled
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market (2021)High-Frequency Trading around Macroeconom…Algorithmic Trading and Market Quality: International Evidence (2020)Algorithmic Trading and Marke…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…A dynamic limit order market with fast and slow traders (2014)A dynamic limit order market …Algorithmic Trading and the Market for Liquidity (2013)Algorithmic Trading and the M…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Low-Latency Trading (2011)Low-Latency TradingInstitutional Investors and the Informational Efficiency of Prices (2009)Institutional Investors and t…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …So What Orders Do Informed Traders Use?* (2006)So What Orders Do Informed Tr…Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)Price Discovery in the U.S. T…Economic News and the Impact of Trading on Bond Prices (2004)Economic News and the Impact …Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…The behavior of daily stock market trading volume (1989)The behavior of daily stock m…What Moves Stock Prices? (1988)What Moves Stock Prices?High-frequency trading in the stock market and the costs of options market making (2024)High-frequency trading in the…Algorithmic and high frequency trading in Asia-Pacific, now and the future (2018)Algorithmic and high frequenc…High-Frequency Trading and Market Stability (2015)High-Frequency Trading and Ma…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)On estimating the expected return on the market (1980)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The Information Content of Annual Earnings Announcements (1968)Information Effects on the Bid-Ask Spread (1983)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)Short Selling and the Price Discovery Process (2012)International Stock Return Predictability: What Is the Role of the United States? (2013)Stock return variances (1986)Measuring the Information Content of Stock Trades (1991)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Yield spreads on EMU government bonds (2003)The Pre-FOMC Announcement Drift (2012)Essays in Positive Economics. (1954)Inferring Trade Direction from Intraday Data (1991)The Diversity of High Frequency Traders (2012)Very fast money: High-frequency trading on the NASDAQ (2013)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)
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References

  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 2009Institutional Investors and the Informational Efficiency of Prices763 cited
  • 2013Algorithmic Trading and the Market for Liquidity418 cited
  • 2004Economic News and the Impact of Trading on Bond Prices413 cited
  • 2004Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve359 cited
  • 2006So What Orders Do Informed Traders Use?*351 cited
  • 2020Algorithmic Trading and Market Quality: International Evidence323 cited
  • 1989The behavior of daily stock market trading volume272 cited

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  • 2014A dynamic limit order market with fast and slow traders249 cited
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    • 2015High-Frequency Trading and Market Stability25 cited
    • 2018Algorithmic and high frequency trading in Asia-Pacific, now and the future24 cited
    • 2024High-frequency trading in the stock market and the costs of options market making21 cited