News Trading and Speed

Thierry Foucault, Johan Hombert () and Ioanid Rosu ()

No 975, HEC Research Papers Series from HEC Paris

Abstract: 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.

Keywords: Informed trading; news; volatility; volume; price discovery; high frequency trading (search for similar items in EconPapers)
JEL-codes: D82 D83 G14 (search for similar items in EconPapers)
Pages: 63 pages
Date: 2013-11-04
New Economics Papers: this item is included in nep-cta and nep-mst
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Citations: View citations in EconPapers (11)

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http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2188822 (application/pdf)

Related works:
Journal Article: News Trading and Speed (2016)
Working Paper: News Trading and Speed (2012)
Working Paper: News Trading and Speed (2012)
Working Paper: News Trading and Speed (2012)
Working Paper: News Trading and Speed (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:0975

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