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First to “Read” the News: News Analytics and Algorithmic Trading
16 references·4 citing·34 second hop
First to “Read” the News: News Analytics and Algorithmic Trading (2019)First to “Read” the News: News Analytics …High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Sentiment During Recessions (2012)Sentiment During RecessionsHigh Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…The Causal Impact of Media in Financial Markets (2011)The Causal Impact of Media in…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…Investor Inattention and Friday Earnings Announcements (2009)Investor Inattention and Frid…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…Stock price reaction to news and no-news: drift and reversal after headlines (2003)Stock price reaction to news …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Attention: How high-frequency trading improves price efficiency following earnings announcements (2021)Attention: How high-frequency…Neuroeconomics of Asset-Price Bubbles: Neuroimaging and Digital Technology for the Prediction and Prevention of Major Bubbles (2019)Neuroeconomics of Asset-Price…Signaling Probabilities in Ambiguity: On the Impact of Vague News (2017)Signaling Probabilities in Am…High-Frequency Trading Strategies (2017)High-Frequency Trading Strate…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Innovative efficiency and stock returns (2012)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)In Search of Attention (2011)Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts (2013)Textual Analysis in Accounting and Finance: A Survey (2016)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)… and the Cross-Section of Expected Returns (2015)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 2009Investor Inattention and Friday Earnings Announcements1,740 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2012Sentiment During Recessions1,156 cited
  • 2011The Causal Impact of Media in Financial Markets1,125 cited
  • 2003Stock price reaction to news and no-news: drift and reversal after headlines1,074 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 2011Low-Latency Trading880 cited
  • 2012

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High Frequency Trading and the New-Market Makers
807 cited

Cited by

  • 2021Attention: How high-frequency trading improves price efficiency following earnings announcements54 cited
  • 2017High-Frequency Trading Strategies53 cited
  • 2017Signaling Probabilities in Ambiguity: On the Impact of Vague News0 cited
  • 2019Neuroeconomics of Asset-Price Bubbles: Neuroimaging and Digital Technology for the Prediction and Prevention of Major Bubbles0 cited